<PAGE> 1
CALIFORNIA
INVESTMENT TRUST
----------------------
F U N D G R O U P (TM)
SEMI-ANNUAL REPORT
FEBRUARY 29, 1996
This report is intended only for the information of shareholders or those who
have received the offering prospectus covering shares of beneficial interest of
CALIFORNIA INVESTMENT TRUST FUND GROUP which contains information about the
management fee and other costs. Investments in shares of the funds of California
Investment Trust Fund Group are neither insured nor guaranteed by the U.S.
Government, and there is no assurance that any Fund which is a Money Market Fund
will be able to maintain a stable net asset value of $1.00 per share.*
<PAGE> 2
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)*
----- ---- -------- ---------
<S> <C> <C> <C>
VARIABLE RATE DEMAND NOTES (47.96%)
ASSOCIATION OF BAY AREA GOVT.
$1,300,000 Lucile Slater Stanford Hospital..................... 2.900% 03/06/96 $1,300,000
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
200,000 Sutter Memorial..................................... 3.200% 03/01/96 200,000
2,300,000 Cottage Hospital Santa Barbara...................... 2.750% 03/07/96 2,300,000
1,200,000 St. Joseph's Health System Series 1985.............. 3.150% 03/01/96 1,200,000
1,000,000 St. Francis Memorial Hospital....................... 3.200% 03/01/96 1,000,000
3,500,000 Kaiser Permenente................................... 2.700% 03/06/96 3,500,000
900,000 Children's Hospital of Orange....................... 2.950% 03/07/96 900,000
CALIFORNIA POLLUTION CONTROL AUTHORITY
2,800,000 So Cal Edison Series A.............................. 3.500% 03/01/96 2,800,000
1,700,000 So Cal Edison Series D.............................. 3.500% 03/01/96 1,700,000
CALIFORNIA STATEWIDE COMM.DEV. AUTHORITY
2,500,000 St. Joseph's Health System COP...................... 2.900% 03/06/96 2,500,000
CONTRA COSTA TRANSPORTATION AUTHORITY
1,600,000 Sales Tax Revenue Bonds 1993 Series A............... 3.000% 03/06/96 1,600,000
EASTERN MUNICIPAL WATER DISTRICT
3,000,000 Water & Sewer Rev. Cert. of Participation........... 3.000% 03/07/96 3,000,000
INDEPENDENT CITIES FINANCE AUTHORITY
3,240,000 Pooled Projects..................................... 2.900% 03/06/96 3,240,000
IRVINE RANCH WATER DISTRICT
400,000 Consolidated Series, 1991........................... 3.200% 03/01/96 400,000
300,000 1986 Capital Improvement Project.................... 3.300% 03/01/96 300,000
LOS ANGELES COUNTY MTA
2,400,000 Proposition C Tax Revenue Bonds..................... 2.950% 03/07/96 2,400,000
NEWPORT BEACH, CITY OF
2,600,000 Newport Beach Hoag Memorial Hospital, 1992.......... 3.350% 03/01/96 2,600,000
REGIONAL AIRPORTS IMPROVEMENT CORPORATION
100,000 Facilities Sublease Revenue Bonds Series 84B........ 3.500% 03/01/96 100,000
1,100,000 Facilities Sublease Revenue Bonds Series 84F........ 3.500% 03/01/96 1,100,000
100,000 Facilities Sublease Revenue Bonds Series 84G........ 3.500% 03/01/96 100,000
RIVERSIDE, CITY OF, REDEVELOPMENT AGENCY
3,000,000 Multi-family Housing Revenue Bonds.................. 2.850% 03/06/96 3,000,000
SAN BERNARDINO COUNTY TRANSPORTATION AUTHORITY
3,000,000 Sales Tax Revenue Bonds............................. 2.800% 03/07/96 3,000,000
SANTA CLARA, CITY OF
1,200,000 Floating Rate Demand Electric Revenue Series C...... 2.900% 03/06/96 1,200,000
</TABLE>
1
<PAGE> 3
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS-(CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)*
----- ---- -------- ---------
<S> <C> <C> <C>
VARIABLE RATE DEMAND NOTES (CONTINUED)
SOUTH SAN FRANCISCO, CITY OF
$1,125,000 Water Quality Control Plant Improvement............ 3.250% 03/07/96 $ 1,125,000
SOUTHERN CA PUBLIC POWER AUTHORITY
3,500,000 Transmission Proj.,Series 1991..................... 2.750% 03/06/96 3,500,000
-----------
Total Variable Rate Demand Notes
(cost $44,065,000)............................. 44,065,000
-----------
TAX AND REVENUE ANTICIPATION NOTES (27.60%)
1,255,000 Alameda County, California.......................... 4.250% 01/30/97 1,260,540
2,525,000 Azusa West End Redevelopment Project *.............. 8.000% 08/01/96 2,618,437
3,000,000 CA School Reserve Program Authority................. 4.500% 12/20/96 3,016,238
2,085,000 CA, State of, Revenue Anticipation Warrants......... 5.750% 04/25/96 2,090,879
1,000,000 East Bay Municipal Utility District *............... 4.479% 03/01/96 1,025,000
2,000,000 Hillsborough Unified School District ............... 4.750% 07/05/96 2,003,963
3,000,000 LA County Education Local Ed. Agencies............. 4.500% 07/05/96 3,006,610
1,400,000 Modesto, City of, Multifamily Housing Rev. Bonds.... 3.250% 06/01/96 1,600,000
1,500,000 Roseville City School District...................... 4.700% 09/05/96 1,503,693
1,000,000 Sacramento Redevelopment Agency* ................... 8.150% 11/01/96 1,048,094
1,165,000 San Carlos Unified School Dist...................... 5.000% 07/05/96 1,167,688
3,500,000 San Diego, County of................................ 4.500% 09/30/96 3,511,722
1,500,000 Santa Cruz County Tax Notes......................... 4.750% 07/11/96 1,503,272
-----------
Total Tax and Revenue Anticipation Notes
(cost $25,356,136).............................. 25,356,136
-----------
COMMERCIAL PAPER (25.57%)
CALIFORNIA EDUCATIONAL FINANCE AUTHORITY
3,000,000 Carnegie Institute.................................. 3.650% 03/08/96 3,000,000
CALIFORNIA POLLUTION CONTROL AUTHORITY
2,000,000 Pacific Gas & Electric, 1988 Series C............... 3.800% 04/08/96 2,000,000
1,700,000 Pacific Gas & Electric, 1988 Series C............... 3.100% 04/08/96 1,700,000
EAST BAY MUNICIPAL UTILITY DISTRICT
3,000,000 Water System Series................................. 3.100% 05/17/96 3,000,000
LOS ANGELES, COUNTY OF
2,900,000 Los Angeles County Waste Water...................... 3.200% 06/10/96 2,900,000
LOS ANGELES DEPT. OF WATER & POWER
3,500,000 Los Angeles Dept. of Water & Power.................. 3.200% 06/10/96 3,500,000
</TABLE>
2
<PAGE> 4
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS-(CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)*
----- ---- -------- ---------
<S> <C> <C> <C>
COMMERCIAL PAPER (CONTINUED)
METROPOLITAN WATER DISTRICT OF SO. CA
$1,400,000 Metropolitan Water District of Southern California.. 3.050% 05/17/96 $ 1,400,000
1,000,000 Metropolitan Water District of Southern California.. 3.600% 05/17/96 1,000,000
1,200,000 Metropolitan Water District of Southern California.. 3.450% 03/08/96 1,200,000
SACRAMENTO MUNICIPAL UTILITY DISTRICT
2,800,000 Sacramento Municipal, Series I...................... 3.600% 04/09/96 2,800,000
1,000,000 Sacramento Municipal, Series F...................... 3.000% 08/12/96 1,000,000
-----------
Total Commercial Paper
(cost $23,500,000) ............................. 23,500,000
-----------
Total Investments (101.13%)
(cost $92,921,136) (a) ......................... 92,921,136
Liabilities in Excess of Other Assets (-1.13%).... (1,039,727)
-----------
Net Assets (100.00%).............................. $91,881,409
===========
</TABLE>
- --------------
(a) Aggregate cost for federal income tax purposes is $92,921,136.
* Denotes Bond issue refunded prior to maturity and secured by 100% US
Government Direct Obligations.
See accompanying notes to financial statements
3
<PAGE> 5
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)*
----- ---- -------- ---------
<S> <C> <C> <C>
LONG-TERM SECURITIES (97.16%)
CALIFORNIA, STATE OF
$9,000,000 General Obligations............................... 6.250% 09/01/12 $9,933,750
STATE OF CA DEPT OF WATER RESOURCES
2,320,000 Dept. of Water Resources Central Valley J-1....... 7.000% 12/01/11 2,752,100
2,585,000 Dept. of Water Resources Central Valley J-3....... 7.000% 12/01/11 3,066,456
CALIFORNIA STATE PUBLIC WORKS BOARD
8,000,000 State Prisons, Imperial County.................... 6.500% 09/01/17 8,700,000
2,000,000 State Prisons 1993 Series A....................... 5.250% 12/01/13 1,962,500
5,000,000 Lease Revenue Bonds Regents of Univ. of CA........ 5.500% 06/01/14 4,900,000
3,630,000 California Community Colleges 1994 Series A....... 9.000% 10/01/03 4,555,650
CA STATEWIDE COMMUNITIES DEV. AUTH.
6,000,000 Hospital Revenue Certs. of Part., Cedar Sinai..... 6.500% 08/01/12 6,450,000
3,615,000 Childrens Hospital of Los Angeles, Series 1993.... 6.000% 06/01/09 3,922,275
CASTAIC LAKE WATER AGENCY
2,090,000 Refunding Revenue Certificates Series 1994A....... 7.250% 08/01/09 2,518,450
CONTRA COSTA WATER AUTHORITY
4,000,000 Water District Series E........................... 6.250% 10/01/12 4,365,000
CULVER CITY REDEVELPOMENT FINANCE AUTHORITY
3,000,000 Tax Allocation Refunding Revenue Bonds, 1993...... 5.500% 11/01/14 3,030,000
EAST BAY MUNICIPAL UTILITY DISTRICT
2,020,000 Water System Subordinated Rev. Refunding, 1996.... 5.000% 06/01/15 1,908,900
ELK GROVE UNIFIED SCHOOL DISTRICT
4,000,000 Special Tax Revenue Bonds......................... 6.500% 12/01/24 4,600,000
FONTANA UNIFIED SCHOOL DISTRICT
4,240,000 Gen. Obligation Convertible Bonds, 1993 Series C.. 5.793% 05/01/97 3,959,100
CITY OF FRESNO
6,000,000 Sewer System Revenue Bonds ....................... 5.250% 09/01/19 5,835,000
LA CONVENTION & EXHIBIT CENTER
1,300,000 LA Convention & Exhibit Center Series 85......... 9.000% 12/01/20 1,732,250
560,000 LA Convention & Exhibit Center Series 85......... 9.000% 12/01/10 746,200
7,500,000 LA Convention & Exhibit Center Series 1995 A..... 6.000% 08/15/10 7,931,250
LA, CITY OF, DEPARTMENT OF AIRPORTS
2,500,000 Refunding Revenue Bonds........................... 6.500% 05/15/04 2,818,750
LOS ANGELES STATE BUILDING AUTHORITY
5,250,000 Lease Revenue Refunding Bonds..................... 5.625% 05/01/11 5,145,000
LA, CITY OF, DEPT OF WATER AND POWER
3,000,000 Wastewater System Revenue Bonds 1994.............. 8.500% 06/01/04 3,780,000
LA COUNTY TRANS COMMISSION
4,540,000 Transportation Commission, Series 1991............ 6.500% 07/01/10 5,147,225
M-S-R PUBLIC POWER AGENCY
3,500,000 San Juan Project Refunding Rev Bond,Ser. D........ 6.750% 07/01/20 4,077,500
5,410,000 San Juan Project Refunding Rev Bond,Ser. F........ 6.125% 07/01/13 5,808,987
</TABLE>
4
<PAGE> 6
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)*
----- ---- -------- ---------
<S> <C> <C> <C>
LONG-TERM SECURITIES (CONTINUED)
METROPOLITAN WATER DISTRICT OF SO. CA
$ 4,000,000 Water Revenue Bonds 1995 Series A.................... 5.750% 07/01/15 $ 4,060,000
NORTHERN CALIFORNIA, TRANSMISSION AGENCY OF
1,000,000 CA-Oregon Transmission Project, Series 1990A......... 7.000% 05/01/13 1,176,250
NORTHERN CALIFORNIA POWER AGENCY
1,425,000 Geothermal Project, Series A......................... 5.850% 07/01/10 1,530,095
REDEVELOPMENT AGENCY OF OAKLAND
5,650,000 Central District Redevelopment Project Ser. 1992..... 5.500% 02/01/14 5,706,500
ORANGE COUNTY LOCAL TRANS AUTHORITY
3,000,000 Measure M Sales Tax Revenue Bonds.................... 9.500% 02/15/03 3,862,500
PASADENA, CITY OF
4,000,000 Certificate of Part., 1990 Capital Imp. Projects..... 6.250% 01/01/18 4,265,000
PORT HUENEME, CITY OF
2,200,000 Refunding Cert. of Participation, 1992............... 6.000% 04/01/12 2,337,500
RIVERSIDE
2,000,000 Sewer Revenue Bonds.................................. 5.000% 08/01/11 1,935,000
SACRAMENTO MUNICIPAL UTILITY DISTRICT
9,000,000 Refunding Revenue Bond Series A ..................... 6.250% 08/15/10 9,990,000
SACRAMENTO COUNTY SANITATION DISTRICT
2,000,000 Revenue Bonds , 1995................................. 5.000% 12/01/15 1,885,000
SAN BERNARDINO COUNTY
5,500,000 Capital Facilities Project........................... 6.875% 08/01/24 6,758,125
SAN FRANCISCO BART DISTRICT
2,950,000 Sales Tax Rev. Refunding Series 1990................. 6.750% 07/01/11 3,407,250
SAN JOSE REDEVELOPMENT AGENCY
5,500,000 Merged Area Redevelopment Project.................... 6.000% 08/01/10 5,933,125
SAN JOSE-SANTA CLARA CLEAN WATER FINANCE AUTHORITY
2,650,000 Sewer Revenue Bonds.................................. 5.375% 11/15/15 2,590,375
SAN MATEO COUNTY REG. TRANS. DISTRICT
10,000,000 Transportation District, 1993 A...................... 5.250% 06/01/19 9,662,500
REDEV. AGENCY OF SANTA CLARA
6,000,000 Bayshore North Project Tax Allocation 1992........... 7.000% 07/01/10 7,072,500
SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT
2,400,000 Installment Sale, Headquarters....................... 6.000% 08/01/11 2,586,000
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
2,000,000 Multiple Project Revenue Bonds, 1989................. 6.750% 07/01/12 2,220,000
6,800,000 Multiple Project Revenue Bonds, 1989................. 6.750% 07/01/13 7,497,000
UNIVERSITY OF CALIFORNIA, REGENTS OF THE
3,000,000 UCLA Central Chiller/Cogeneration Facility........... 10.000% 11/01/03 3,993,750
------------
Total Long-term Securities
(cost $184,890,991).............................. 198,114,813
------------
</TABLE>
5
<PAGE> 7
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)*
----- ---- -------- ---------
<S> <C> <C> <C>
VARIABLE RATE DEMAND NOTES (1.47%)
CALIFORNIA POLLUTION CONTROL AUTHORITY
$ 300,000 So. Cal Edison Series A............................. 3.500% 03/01/96 $ 300,000
REGIONAL AIRPORTS IMPROVEMENT CORPORATION
1,400,000 Facilities Sublease Revenue Bonds................... 3.500% 03/01/96 1,400,000
1,100,000 Facilities Sublease Revenue Bonds................... 3.500% 03/01/96 1,100,000
200,000 Facilities Sublease Revenue Bonds................... 3.500% 03/01/96 200,000
------------
Total Variable Rate Demand Notes
(cost $3,000,000) ................................ 3,000,000
------------
TAX EXEMPT COMMERCIAL PAPER (0.49%)
METROPOLITAN WATER DISTRICT OF SO. CA
1,000,000 Tax Exempt Commercial Paper......................... 3.150% 03/05/96 1,000,000
------------
Total Tax Exempt Commercial Paper
(cost $1,000,000)................................. 1,000,000
------------
Total Investments (99.12%)
(cost $188,890,991) (a)......................... 202,114,813
Other Net Assets (0.88%)............................ 1,792,171
------------
Net Assets (100.00%).............................. $203,906,984
============
</TABLE>
(a) Aggregate cost for federal income tax purposes is $188,890,991. At February
29, 1996, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
<TABLE>
<S> <C>
Unrealized appreciation.............................................. $ 13,527,403
Unrealized depreciation.............................................. (303,581)
------------
Net unrealized appreciation........................................ $ 13,223,822
============
</TABLE>
See accompanying notes to financial statements
6
<PAGE> 8
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)*
----- ---- -------- ---------
<S> <C> <C> <C>
LONG-TERM SECURITIES (98.29%)
CALIFORNIA, STATE OF
$ 300,000 General Obligations............................... 5.750% 10/01/05 $ 322,500
STATE PUBLIC WORKS BOARD
600,000 Energy Efficiency Revenue Bonds 1995 Series A..... 5.250% 10/01/03 626,250
CONTRA COSTA CA WATER DISTRICT
750,000 Water Revenue Bond, Series E...................... 5.800% 10/01/02 808,125
CONTRA COSTA TRANSPORTATION AUTHORITY
750,000 Sales Tax Revenue Bonds 1995 Series A............. 6.000% 03/01/03 870,000
DELTA DIABLO SANITATION DISTRICT
400,000 Wastewater Facilities Expansion Project........... 6.250% 12/01/04 438,500
DESERT SAND UNIFIED SCHOOL DISTRICT
735,000 Certificates of Participation, Series 1995........ 5.300% 03/01/07 749,700
ELSINOR VALLEY CA WATER DISTRICT
1,000,000 Certificate Particpation, Series A................ 5.900% 07/01/05 1,085,000
INDUSTRY, CITY OF
700,000 Refunding Bonds, Series 1993...................... 5.500% 07/01/09 719,250
LONG BEACH FINANCE AUTHORITY
700,000 Revenue Bonds Series 1992......................... 5.150% 01/15/08 705,250
LOS ANGELES, CITY OF
965,000 General Obligation, Series A...................... 5.600% 09/01/05 1,030,137
LOS ANGELES DEPARTMENT OF AIRPORTS
700,000 Revenue Refunding Bonds........................... 6.500% 05/15/03 784,000
LOS ANGELES, CITY OF
710,000 Wastewater System, Series 1994.................... 8.500% 06/01/03 880,400
LA COUNTY TRANSPORTATION COMMISSION
1,050,000 Sales Tax Revenue Bonds........................... 5.900% 07/01/07 1,134,000
METROPOLITAN WATER DIST. OF SO. CA
800,000 Waterworks Revenue Bonds.......................... 5.500% 07/01/09 823,000
NORTHERN CALIFORNIA, TRANSMISSION AGENCY OF
700,000 California/Oregon Transmission Proj., Rev. Bonds.. 6.100% 05/01/03 767,375
OAK PARK UNIFIED SCHOOL DISTRICT
1,000,000 General Obligation, Refunding Bonds............... 5.150% 05/01/27 1,011,250
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
800,000 Local Trans Authority, Second Senior Ser. 1994.... 9.500% 02/15/03 1,030,000
REDEVELOPMENT AGENCY, CITY OF RIVERSIDE
320,000 Tax Allocation Refunding Bonds.................... 5.000% 08/01/04 327,200
RIVERSIDE COUNTY TRANSPORTATION COMMISSION
260,000 Sales Tax Revenue Bonds........................... 5.500% 06/01/04 275,600
SACRAMENTO MUNICIPAL WATER DISTRICT
900,000 Electric Revenue Refunding Bonds.................. 5.100% 11/15/03 933,750
</TABLE>
7
<PAGE> 9
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)*
----- ---- -------- ---------
<S> <C> <C> <C>
LONG-TERM SECURITIES (CONTINUED)
COUNTY OF SACRAMENTO PUBLIC FIN.
$ 400,000 Main Detention Facility Certificate of Part.... 5.300% 06/01/04 $ 417,000
SAN DIEGO COUNTY REG. TRANS COMM.
800,000 Second Senior Sales Tax Revenue Bonds.......... 5.000% 04/01/03 821,000
SAN FRANCISCO CITY & CNTY, AIRPORT COMMISSION
455,000 Refunding Revenue Bonds........................ 5.150% 05/01/03 470,925
SAN FRANCISCO, CITY & COUNTY
500,000 Sewer Revenue Refunding Bonds Series 1992...... 5.500% 10/01/02 530,625
SAN MATEO JOINT POWERS AUTHORITY
400,000 Joint Powers Authority, Series A............... 5.100% 08/01/03 412,500
CITY OF SANTA ROSA
400,000 Wastewater Refunding........................... 5.125% 09/01/05 410,000
SIGNAL HILL REDEVELOPMENT AGENCY
745,000 Signal Hill Project No. 1, 1993................ 5.200% 10/01/03 777,594
TURLOCK IRRIGATION DISTRICT
1,000,000 Revenue Refunding Bonds 1996 Series A.......... 6.000% 01/01/08 1,087,500
UNIVERSITY OF CA, REGENTS OF THE
650,000 Housing System Revenue Bonds................... 5.000% 11/01/02 669,500
700,000 Multi-purpose Projects, Series C............... 10.000% 09/01/02 911,750
VISALIA, CITY OF
800,000 Wastewater System Revenue Bonds................ 5.900% 12/01/05 873,000
-----------
Total Long-term Securities
(cost $21,959,955)......................... 22,702,681
-----------
VARIABLE RATE DEMAND NOTES (0.43%)
REGIONAL AIRPORTS IMPROVEMENT CORPORATION
100,000 Facilities Sublease Revenue Bonds.............. 3.500% 03/01/96 100,000
-----------
Total Variable Rate Demand Notes
(cost $100,000)............................ 100,000
-----------
Total Investments (98.72%)
(cost $22,059,955) (a).................... 22,802,681
Other Net Assets (1.28%).................... 295,769
-----------
Net Assets (100.00%)...................... $23,098,450
===========
</TABLE>
(a) Aggregate cost for federal income tax purposes is $22,059,955. At February
29, 1996, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
<TABLE>
<S> <C>
Unrealized appreciation..................... $ 745,007
Unrealized depreciation..................... (2,281)
-----------
Net unrealized appreciation............... $ 742,726
===========
</TABLE>
See accompanying notes to financial statements
8
<PAGE> 10
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)*
----- ---- -------- ---------
<S> <C> <C> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (22.71%)
$ 986,136 7.000% 04/15/24 $ 976,402
2,038,150 7.000% 01/15/26 2,020,954
907,061 8.000% 07/15/24 933,965
1,221,446 8.000% 09/15/21 1,259,235
482,021 9.000% 10/15/18 508,532
47,550 10.000% 10/15/10 52,097
8,162 10.000% 07/15/13 8,943
51,795 10.000% 09/15/18 57,331
44,978 11.000% 03/15/10 50,277
21,440 11.250% 07/15/13 24,100
1,003,448 8.000% 07/15/24 1,033,210
-----------
Total Government National Mortgage Association (cost $6,818,381).. 6,925,046
-----------
UNITED STATES TREASURY BONDS (57.58%)
600,000 11.125% 08/15/96 782,062
1,700,000 10.750% 08/15/05 2,250,905
1,025,000 9.875% 11/15/15 1,396,562
1,800,000 9.125% 05/15/18 2,318,625
1,600,000 9.000% 11/15/18 2,042,000
1,500,000 8.875% 02/15/19 1,892,812
1,400,000 8.125% 08/15/19 1,645,875
2,000,000 8.500% 02/15/20 2,440,624
1,000,000 8.750% 05/15/20 1,251,250
1,300,000 8.125% 08/15/21 1,532,375
-----------
Total United States Treasury Bonds (cost $16,647,303)............. 17,553,090
-----------
UNITED STATES TREASURY NOTES (13.46%)
1,200,000 7.500% 05/15/02 1,299,374
1,200,000 5.875% 11/15/05 1,177,124
1,500,000 7.750% 02/15/19 1,627,500
-----------
Total United States Treasury Notes (cost $3,975,165).............. 4,103,998
-----------
UNITED STATES TREASURY STRIPS (5.40%)
4,000,000 0.000% 11/15/18 851,648
4,000,000 0.000% 11/15/19 795,555
-----------
Total United States Treasury Strips (cost $1,675,302)............. 1,647,203
-----------
</TABLE>
9
<PAGE> 11
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS-(CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)*
----- ---- -------- ---------
<S> <C> <C> <C>
UNITED STATES TREASURY BILLS (0.33%)
$100,000 4.950% 03/15/96 $ 99,837
-----------
Total United States Treasury Bills (cost $99,837)................ 99,837
-----------
Total Investments (cost $29,215,988) (a) (99.48%)................ 30,329,174
Other Net Assets (0.52%)......................................... 157,714
-----------
Net Assets (100.00%)........................................... $30,486,888
===========
</TABLE>
- --------------------------
(a) Aggregate cost for federal income tax purposes is $29,215,988. At February
29, 1996, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
<TABLE>
<S> <C>
Unrealized appreciation........................................ $ 1,329,931
Unrealized depreciation........................................ (216,745)
-----------
Net unrealized appreciation.................................. $ 1,113,186
===========
</TABLE>
10
<PAGE> 12
THE UNITED STATES TREASURY TRUST
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)*
----- ---- -------- ---------
<S> <C> <C> <C>
UNITED STATES TREASURY BILLS (100.49%)
$2,500,000 4.875%-4.960% 11/14/96 $ 2,412,047
2,000,000 4.920% 07/11/96 1,963,620
2,200,000 5.350% 03/07/96 2,198,184
2,500,000 4.950% 03/14/96 2,495,536
5,200,000 4.970%-5.310% 04/04/96 5,175,114
6,000,000 4.970% 04/11/96 5,966,038
4,900,000 4.960% 04/18/96 4,867,895
5,600,000 4.960%-5.050% 05/02/96 5,551,993
2,000,000 4.920% 05/09/96 1,981,140
3,200,000 4.830%-5.000% 05/23/96 3,163,738
4,400,000 4.910%-5.175% 05/30/96 4,344,400
2,000,000 5.195% 07/25/96 1,957,883
500,000 4.965% 08/22/96 488,001
2,000,000 5.120% 10/17/96 1,934,578
-----------
Total Investments (cost $44,500,167) (a) (100.49%)..... 44,500,167
Liabilities in Excess of Other Assets (-.49%).......... (217,557)
-----------
Net Assets (100.00%)................................... $44,282,610
===========
</TABLE>
- ---------------------
(a) Cost for federal income tax purposes is $44,500,167.
See accompanying notes to financial statements
11
<PAGE> 13
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
COMMON STOCK (92.23%)
CAPITAL GOODS (5.04%)
PRODUCTION (1.46%)
200 Briggs & Stratton....................................... $ 8,575
1,300 Caterpillar Inc......................................... 86,938
100 Cincinnati Milacron Inc................................. 2,875
700 Cooper Industries....................................... 27,038
1,700 Deere & Co.............................................. 66,513
1,100 Dover Co................................................ 48,950
300 FMC Corp.*.............................................. 21,900
13,300 Foster Wheeler Corp..................................... 13,200
700 Illinois Tool Works..................................... 46,113
700 Ingersol Rand Co........................................ 28,613
800 Pall Corp............................................... 21,800
550 Parker Hannifin......................................... 19,319
300 Raychem................................................. 19,463
100 Timken Co............................................... 4,500
1,000 Tyco International Ltd.................................. 36,125
2,500 Westinghouse Electric................................... 46,250
----------
498,172
----------
MACHINERY (AGRICULTURE & CONSTRUCTION)
(0.09%)
400 Case Equipment.......................................... 21,250
300 Varity Corp. New*....................................... 11,325
----------
32,575
----------
MACHINERY (INDUSTRIAL) (0.04%)
100 Giddings and Lewis Inc.................................. 1,675
300 Harnischfeger........................................... 11,363
----------
13,038
----------
POLLUTION CONTROL (0.28%)
3,200 WMX Technologies, Inc................................... 91,200
----------
ELECTRICAL EQUIPMENT (2.96%)
1,428 AMP Inc................................................. 60,869
1,400 Emerson Electric Co..................................... 109,025
10,810 General Electric........................................ 816,155
300 Grainger WW Inc......................................... 20,513
600 Scientific-Atlanta Inc.................................. 10,050
----------
1,016,612
----------
TRANSPORTATION EQUIPMENT (0.02%)
200 Cummins Engine.......................................... 8,425
----------
CONGLOMERATE (0.19%)
1,200 Tenneco, Inc............................................ 67,050
----------
Total Capital Goods..................................... 1,727,072
----------
CONSUMER CYCLICAL (6.90%)
HOUSING (0.01%)
100 Kaufman & Broad Home Corp............................... 1,538
----------
BUILDING MATERIAL (0.45%)
3,133 Home Depot.............................................. 135,502
300 Johnson Controls........................................ 21,525
----------
157,027
----------
AUTO & TRUCK (2.20%)
2,500 Chrysler................................................ 140,938
700 Dana.................................................... 21,175
500 Eaton Corp.............................................. 28,938
200 Echlin Corp............................................. 6,775
6,910 Ford Motor Co........................................... 215,938
4,800 General Motors Corp..................................... 246,000
700 Genuine Parts Co........................................ 29,925
700 ITT Industries.......................................... 18,375
215 Paccar Inc.............................................. 10,159
100 Trinova Corp............................................ 3,013
400 TRW Inc................................................. 34,650
----------
755,886
----------
TIRE & RUBBER (0.21%)
500 Cooper Tire and Rubber Co............................... 12,688
200 Goodrich, B.F. Co....................................... 15,225
900 Goodyear Tire & Rubber.................................. 42,750
----------
70,663
----------
APPLIANCE (0.32%)
300 Armstrong World Ind..................................... 17,588
1,180 Black and Decker........................................ 39,825
600 Maytag Corp............................................. 11,775
300 Snap-On Inc............................................. 13,425
500 Whirlpool Corp.......................................... 27,813
----------
110,426
----------
HOUSEHOLD PRODUCTS (0.13%)
1,494 Federated Department Stores*............................ 45,194
----------
TEXTILE & APPAREL (0.40%)
100 Brown Group............................................. 1,238
400 Liz Claiborne Inc....................................... 12,550
700 Melville Corp........................................... 22,313
900 Nike Class B............................................ 58,388
500 Reebok International Ltd. .............................. 13,188
100 Russell Co.............................................. 2,800
100 Spring Industries....................................... 4,325
400 VF Corp................................................. 21,500
----------
136,302
----------
RETAIL-GENERAL (3.18%)
400 American Greetings Corp................................. 10,950
1,000 American Stores Co...................................... 29,125
300 Charming Stores Inc..................................... 1,256
500 Circuit City Stores..................................... 14,813
500 Dayton Hudson Corp...................................... 37,188
600 Dillard Dept. Stores Class A............................ 18,750
900 Gap Inc................................................. 48,263
400 Giant Foods............................................. 13,150
100 Great Atlantic & Pacific................................ 2,250
100 Jostens................................................. 2,275
1,270 Kroger*................................................. 47,149
1,100 Lowes Cos............................................... 34,100
1,600 May Dept. Stores........................................ 74,600
300 Mercantile Stores Co.................................... 15,713
400 Nordstrom Inc........................................... 18,050
1,300 Penney, JC Co........................................... 61,750
400 Pep Boys-Manny, Mo, Jack................................ 12,000
</TABLE>
12
<PAGE> 14
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
RETAIL-GENERAL (CONTINUED)
500 Rite Aid Corp........................................... $ 15,750
2,500 Sears Robuck & Co....................................... 113,438
400 Supervalu Inc........................................... 12,900
400 Tandy Corp.............................................. 17,500
2,400 The Limited Ltd......................................... 42,000
500 TJX Cos, Inc............................................ 11,125
1,700 Toys R Us, Inc.*........................................ 40,588
14,840 Wal-Mart Stores Inc..................................... 315,350
1,600 Walgreen Co............................................. 52,800
800 Winn-Dixie Stores Inc................................... 27,400
400 Woolworth Corp.*........................................ 4,800
----------
1,095,033
----------
Total Consumer Cyclical................................. 2,372,069
----------
CONSUMER NON-DURABLE (26.26%)
HEALTH CARE (0.38%)
400 Bausch & Lomb Inc....................................... 15,550
200 Beverly Enterprises*.................................... 2,425
600 Biomet Inc.*............................................ 11,400
400 Manor Care.............................................. 15,350
900 Warner-Lambert Co....................................... 88,988
----------
133,713
----------
CONSUMER PRODUCT (0.08%)
1,000 Newell Co............................................... 27,750
----------
FOOD, BEVERAGE & TOBACCO (7.51%)
1,200 American Brands......................................... 54,450
3,470 Archer-Daniels-MidLand Co............................... 66,797
1,600 Campbell Soup........................................... 98,800
8,120 Coca-Cola............................................... 655,690
1,600 Conagra Inc............................................. 67,400
1,000 CPC International....................................... 69,250
1,000 Darden Restaurants...................................... 12,250
100 Fleming Cos., Inc....................................... 2,000
1,000 General Mills........................................... 57,500
2,350 H J Heinz Co............................................ 79,900
500 Hershey Foods........................................... 37,688
1,400 Kellogg Co.............................................. 105,700
800 Loews Corporation....................................... 68,000
5,120 Pepsi Co................................................ 323,840
5,470 Philip Morris Co., Inc.................................. 541,530
820 Pioneer Hi-Bred Int..................................... 44,178
800 Quaker Oats............................................. 27,500
700 Ralston-Ralston Purina Grp.............................. 46,900
3,100 Sara Lee Corp........................................... 100,363
1,100 Sysco Corp.............................................. 36,163
1,100 UST Inc................................................. 39,050
800 Wrigley Wm Jr........................................... 47,000
----------
2,581,949
----------
RETAIL-FOOD & DRUGS (0.25%)
1,600 Albertson's Inc......................................... 59,200
3,100 KMart................................................... 21,700
100 Longs Drug Stores....................................... 4,500
----------
85,400
----------
COMMUNICATIONS & MEDIA (1.78%)
200 Andrew Corp............................................. 10,400
900 Capital Cities/ABC...................................... 117,450
1,600 Comcast Corp CL A Spec.................................. 31,400
400 Comcast Corp CL A....................................... 7,700
500 Dow Jones & Co.......................................... 19,500
900 Gannett Co., Inc........................................ 61,200
400 Harcourt General Inc.................................... 17,350
1,110 Interpublic Group Cos. Inc.............................. 46,759
300 Knight Ridder Inc....................................... 20,775
700 New York Times Class A.................................. 19,250
4,200 TeleCommunications Inc.A*............................... 88,200
2,500 Time Warner Inc......................................... 106,875
600 Times Mirror Co. A-New.................................. 20,400
650 Tribune Co.............................................. 43,388
----------
610,647
----------
ENTERTAINMENT & LEISURE (1.42%)
100 Bally Entertainment Corp.*.............................. 1,550
700 Brunswick Corp.......................................... 16,013
100 Handleman Co............................................ 500
500 Hasbro, Inc............................................. 17,250
100 King World Productions, Inc.*........................... 4,188
1,268 Mattel CS............................................... 42,161
4,500 McDonalds Corp.......................................... 225,000
400 Premark Int............................................. 20,950
1,110 Price/Costco, Inc.*..................................... 19,199
800 Service Corp. Int....................................... 36,300
100 Shoney's, Inc.*......................................... 838
64 Viacom Inc. Cl A*....................................... 2,488
2,284 Viacom Inc. Cl B*....................................... 89,647
700 Wendys International.................................... 12,688
----------
488,772
----------
APPAREL (0.07%)
250 Fruit of the Loom*...................................... 6,344
1,600 Laidlaw Inc. Cl B....................................... 15,600
200 Stride Rite Corp........................................ 1,625
----------
23,569
----------
DRUGS (8.21%)
5,100 Abbott Labs............................................. 212,925
400 Allergan................................................ 14,900
500 Alza Corp. Class A*..................................... 16,625
2,000 Amer Home Products Corp................................. 197,000
400 Bard C.R. Inc........................................... 14,350
1,800 Baxter International, Inc............................... 82,350
630 Becton Dickinson Co..................................... 51,660
3,300 Bristol-Meyer/Squibb.................................... 280,913
100 Community Psychiatric................................... 925
780 Humana Inc.............................................. 19,110
5,020 Johnson & Johnson....................................... 469,411
3,540 Lilly, Eli & Co......................................... 214,170
1,500 Medtronic Inc........................................... 86,063
8,000 Merck & Co.............................................. 530,000
4,100 Pfizer, Inc............................................. 270,088
3,320 Pharmacia & Upjohn, Inc................................. 139,025
2,400 Schering Plough Corp.................................... 134,700
1,170 St. Jude Medical........................................ 44,168
2,040 Tenet Healthcare Corp.*................................. 45,645
----------
2,824,028
----------
</TABLE>
13
<PAGE> 15
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
HOSPITAL SUPPLY & SERVICE (0.17%)
987 Boston Scientific Corp................................ $ 47,376
400 US Surgical Corp...................................... 11,350
----------
58,726
----------
COSMETIC & SOAP (2.04%)
100 Alberto-Culver Co. Cl B............................... 3,538
500 Avon Products, Inc.................................... 40,188
300 Clorox................................................ 25,425
1,000 Colgate Palmolive Co.................................. 78,250
2,900 Gillette Co........................................... 156,963
700 Int'l Flavors & Fragrance............................. 35,088
4,430 Proctor & Gamble...................................... 363,260
----------
702,712
----------
LIQUOR (0.70%)
1,700 Anheuser-Busch Cos., Inc.............................. 114,538
500 Brown Foreman Cl. B................................... 19,563
1,310 Coors (Adolph)........................................ 25,381
2,400 Seagrams.............................................. 82,500
----------
241,982
----------
TRAVEL & RECREATION (1.02%)
1,110 CUC International, Inc.*.............................. 35,936
300 Fleetwood Enterprises................................. 8,063
600 Harrahs Entertainment, Inc.*.......................... 16,275
300 Hilton Hotels Corp.................................... 28,125
800 Marriot Intl.......................................... 39,300
3,400 Walt Disney Co........................................ 222,700
----------
350,399
----------
PRINTING & PUBLISHING (0.20%)
900 Donnelley, RR & Sons.................................. 32,400
300 McGraw Hill Cos., Inc................................. 26,213
200 Meredith Corporation.................................. 8,775
----------
67,388
----------
RESTAURANT (0.01%)
100 Luby's Cafeterias Inc................................. 2,075
200 Ryan's Family Steak House*............................ 1,325
----------
3,400
----------
BUSINESS SERVICE (1.72%)
200 Autodesk Inc.......................................... 7,075
1,800 Automatic Data Proc., Inc............................. 69,750
1,400 Browning Ferris....................................... 41,475
3,500 Cisco Systems Inc.*................................... 166,250
1,600 Computer Associates................................... 110,000
490 Computer Sciences*.................................... 35,770
860 Deluxe Corp........................................... 27,628
500 Dial Corp............................................. 15,000
1,100 Dunn & Bradstreet..................................... 69,575
700 H & R Block........................................... 24,763
100 Harland, John H Co.................................... 2,238
600 Moore Corp............................................ 11,775
300 National Service Inds................................. 10,463
----------
591,762
----------
HEALTH CARE SERVICE (0.70%)
2,887 Columbia/HCA Hthcare Corp............................. 158,063
400 Ecolab Inc............................................ 12,150
1,100 United Healthcare Corp................................ 71,775
----------
241,988
----------
Total Consumer Non-Durable............................ 9,034,185
----------
BANKING & FINANCIAL SERVICE (12.33%)
BANK & BANK HOLDING COS. (6.08%)
2,930 Banc One Corp......................................... 104,381
700 Banc of Boston........................................ 34,038
1,300 Bank of New York...................................... 67,438
2,400 BankAmerica........................................... 171,000
500 Bankers Trust New York................................ 32,313
600 Barnett Bank Inc...................................... 37,500
900 Boatmens Bancshares................................... 35,325
1,200 Chase Manhattan Corp.................................. 89,400
1,600 Chemical Banking...................................... 114,600
3,132 Citicorp.............................................. 244,296
700 Comerica.............................................. 27,213
900 Corestates Financial.................................. 38,700
1,145 First Bank System Inc................................. 65,981
1,958 First Chicago NBD Corp................................ 84,928
500 First Interstate Bankcorp............................. 81,688
1,840 First Union Corp...................................... 111,320
1,735 Fleet Financial Group, Inc............................ 71,352
950 Mellon Bank........................................... 53,081
1,200 Morgan, J.P. & Co., Inc............................... 98,250
1,900 Nations Bank Corp..................................... 140,125
2,300 Norwest Corp.......................................... 83,950
2,200 PNC Financial Corp.................................... 67,375
400 Republic New York Corp................................ 23,950
700 Suntrust Banks, Inc................................... 50,313
1,300 U.S. Bancorp.......................................... 40,138
1,100 Wachovia Corp......................................... 51,150
300 Wells Fargo & Co...................................... 73,988
----------
2,093,793
----------
SAVINGS & LOAN (0.35%)
1,200 Fed. Home Loan Mortgage............................... 99,000
400 Golden West Financial................................. 20,250
----------
119,250
----------
FINANCE COMPANY (1.51%)
1,300 Ahmanson, HF & Co..................................... 29,575
3,100 American Express Co................................... 142,600
200 Beneficial Corp....................................... 10,400
800 Great Western Financial............................... 18,300
600 Household International............................... 40,350
1,100 Merrill Lynch......................................... 63,388
1,360 National City Corp.................................... 47,260
700 Salomon Inc........................................... 26,688
2,087 Travelers Group, Inc.................................. 139,568
----------
518,129
----------
INSURANCE (3.32%)
700 Aetna Life & Cas. Co.................................. 52,938
100 Alexander & Alex. Svcs. Inc........................... 1,863
2,927 Allstate Corp......................................... 125,495
1,300 American General Corp................................. 47,288
3,075 American Intl. Group.................................. 297,122
600 Chubb Group........................................... 58,275
500 Cigna Corp C.......................................... 59,250
500 General RE Corp....................................... 71,938
700 ITT Hartford Group.................................... 36,050
450 Jefferson Pilot....................................... 25,031
1,543 Keycorp New........................................... 58,055
</TABLE>
14
<PAGE> 16
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
INSURANCE (CONTINUED)
700 Lincoln National Corp................................. $ 38,500
500 Marsh & McClennan Co.................................. 48,563
500 Providian Corporation................................. 23,125
700 Safeco Corp........................................... 25,375
500 St. Paul Companies.................................... 28,313
400 Torchmark Corp........................................ 18,550
500 TransAmerica Corp..................................... 37,688
500 Unum Corp............................................. 29,438
1,000 US Healthcare, Inc.................................... 48,750
500 USF & G............................................... 7,500
150 USLife................................................ 4,538
----------
1,143,645
----------
FINANCIAL SERVICES (1.07%)
1,090 Dean Witter Disc. & Co................................ 58,587
7,000 Fed Natl. Mtge. Assn.................................. 221,375
1,425 MBNA Corporation...................................... 40,256
1,000 Morgan Stanley Group.................................. 46,875
----------
367,093
----------
Total Banking & Financial Services.................... 4,241,910
----------
UTILITY (10.80%)
ELECTRIC (1.07%)
904 Cinergy Corp.......................................... 27,007
1,500 Consolidated Edison................................... 48,938
1,300 Duke Power............................................ 63,538
2,800 Edison International.................................. 49,000
1,375 General Public Utilities.............................. 45,891
1,600 Pacificorp............................................ 33,200
100 Peoples Energy Corp................................... 3,075
1,300 Texas Utilities....................................... 52,488
1,080 Union Electric Co..................................... 45,630
----------
368,767
----------
TELEPHONE (7.14%)
1,100 Alltell Corp.......................................... 36,575
10,290 AT&T.................................................. 654,701
3,600 Ameritech Corp........................................ 207,450
2,800 Bell Atlantic......................................... 185,150
6,400 Bell South Corp....................................... 255,200
600 DSC Comm. Corp.*...................................... 18,300
6,300 GTE Corp.............................................. 270,113
4,400 MCI Communications.................................... 128,700
2,800 NYNEX Corp............................................ 144,200
2,800 Pacific Telesis Group................................. 79,100
3,900 SBC Communications.................................... 214,013
2,300 Sprint Corporation Com................................ 98,900
3,100 US West, Inc.......................................... 101,525
3,000 US West Media Group*.................................. 62,625
----------
2,456,552
----------
ENERGY (2.59%)
1,200 American Elect. Pwr. Co............................... 51,450
1,000 Baltimore Gas & Electric.............................. 28,375
1,310 Carolina Power & Light................................ 47,815
1,300 Central & S/W Corp.................................... 36,075
600 Coastal Corp.......................................... 22,050
500 Consolidated Natural Gas.............................. 21,500
1,000 Dominion Resources.................................... 39,500
1,310 DTE Energy Co......................................... 46,669
200 Enserch............................................... 3,025
1,500 Entergy Corp. New..................................... 42,563
1,200 FPL Group, Inc........................................ 53,550
1,500 Houston Industries.................................... 33,938
4,360 Niagara Mohawk Power.................................. 32,700
200 Nicor................................................. 5,375
400 Noram Energy Corp..................................... 3,600
920 Northern States Power................................. 45,310
800 Ohio Edison........................................... 19,000
500 Pacific Enterprises................................... 13,375
2700 PG & E................................................ 69,188
900 Panhandle Eastern Corp................................ 25,763
1,400 Peco Energy Co........................................ 39,550
1,600 Public Services Enterprises........................... 45,000
500 Sonat Inc............................................. 16,750
4,300 Southern Co........................................... 102,663
1,400 Unicom Corp........................................... 44,800
----------
889,584
----------
Total Utilities....................................... 3,714,903
----------
SERVICE (0.15%)
DISTRIBUTOR (0.08%)
600 Alco Standard Corp.................................... 28,372
----------
MISCELLANEOUS (0.07%)..............................................
950 PP & L Resources, Inc................................. 23,631
----------
Total Service......................................... 52,003
----------
TRANSPORTATION (1.43%)
AIR TRANSPORTATION (0.41%)
500 AMR Corp.*............................................ 43,875
300 Delta Airlines........................................ 23,400
540 Federal Express*...................................... 39,960
1,000 Southwest Airlines Co................................. 30,750
200 US Air Group, Inc..................................... 3,375
----------
141,360
----------
RAILROAD (0.96%)
895 Burlington No./Santa Fe............................... 71,600
500 Conrail, Inc.......................................... 36,063
1,200 CSX Corp.............................................. 53,850
800 Norwalk Southern Co................................... 65,200
100 Ogden Corp............................................ 2,138
1,300 Union Pacific Corp.................................... 85,800
600 Whitman Corp.......................................... 13,950
----------
328,601
----------
TRUCKING (0.06%)
100 Caliber System, Inc................................... 4,225
100 Consol Freightways.................................... 2,450
170 Navistar Intl.*....................................... 1,721
500 Ryder System.......................................... 12,563
100 Yellow Corp........................................... 1,106
----------
22,065
----------
Total Transportation.................................. 492,026
----------
</TABLE>
15
<PAGE> 17
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
MANUFACTURING (8.77%)
CONSUMER DURABLE (0.62%)
550 Eastman Chemical Co.................................. $ 39,600
2,200 Eastman Kodak........................................ 157,300
100 Outboard Marine...................................... 2,025
300 Polaroid Corp........................................ 13,200
----------
212,125
----------
BUILDING & HOUSING (0.43%)
100 Centex Corp.......................................... 2,875
1,300 Corning Corp......................................... 42,250
100 Crane Co............................................. 4,050
500 Fluor Corp........................................... 33,563
1,100 Masco Co............................................. 31,350
300 Owens Corning*....................................... 12,188
100 Pulte Corp........................................... 2,988
300 Stanley Works........................................ 16,950
----------
146,214
----------
CHEMICAL (2.86%)
700 Air Products & Chem. Inc............................. 37,275
1,700 Dow Chemical......................................... 136,425
3,600 Dupont De Nemours & Co............................... 275,400
600 Grace WR & Co........................................ 41,400
400 Great Lakes Chemical................................. 28,600
700 Hercules............................................. 42,000
700 Monsanto Co.......................................... 94,238
1,320 Morton Intl. Co...................................... 49,995
400 Nalco Chemical....................................... 12,700
1,200 PPG Industries....................................... 55,650
900 Praxair, Inc......................................... 31,050
640 Rohm & Haas Co....................................... 44,560
1,000 Rubbermaid Inc....................................... 28,125
200 Safety Kleen......................................... 2,900
500 Sherwin Williams..................................... 21,188
300 Sigma-Aldrich Corp................................... 17,175
900 Union Carbide Corp................................... 40,500
518 Williams Cos......................................... 24,605
----------
983,786
----------
DIVERSIFIED (0.51%)
700 ITT Corp.*........................................... 42,263
1,000 Unilever (NY Shares)................................. 134,500
----------
176,763
----------
PAPER & FOREST PRODUCTS (1.45%)
570 Avery Dennison Co.................................... 30,709
200 Boise Cascade........................................ 7,050
500 Champion Intl........................................ 20,000
690 Federal Paperboard................................... 36,829
600 Georgia Pacific Co................................... 37,875
1,600 International Paper.................................. 57,000
500 James River of Virginia.............................. 13,188
1,846 Kimberly Clark....................................... 140,988
400 Louisiana-Pacific Co................................. 9,250
300 Mead Corp............................................ 15,000
100 Potlatch Corp........................................ 4,113
400 Temple Inland........................................ 16,100
400 Union Camp Co........................................ 18,650
600 Westvaco Corp........................................ 17,400
1,300 Weyerhaeuser Co...................................... 55,088
350 Willamette Inds...................................... 18,375
----------
497,615
----------
METAL & MINERAL (0.32%)
300 Armco Inc.*.......................................... 1,688
700 Bethlehem Steel...................................... 9,625
300 Inland Steel Inds.................................... 7,313
600 Nucor Corp........................................... 32,325
1,800 USX-Marathon......................................... 33,300
500 USX-US Steel......................................... 16,375
600 Worthington Inds., Inc............................... 12,900
----------
113,526
----------
CONTAINER (0.21%)
100 Ball Corp............................................ 3,000
400 Bemis Co............................................. 12,250
1,050 Crown Cork & Seal.................................... 49,481
600 Stone Container Corp................................. 8,250
----------
72,981
----------
COMPUTER (0.26%)
3,550 Data General*........................................ 59,906
1,160 Silicon Graphics, Inc.*.............................. 29,000
----------
88,906
----------
NON FERROUS METAL (0.76%)
1,300 Alcan Aluminum Ltd................................... 39,650
1,100 Aluminum Co. of Amer................................. 62,425
300 Asarco, Inc.......................................... 8,963
1,050 Englehard Corp....................................... 21,394
800 Inco Ltd............................................. 25,500
919 Newmont Mining Co.................................... 52,268
500 Phelps Dodge......................................... 30,563
400 Reynolds Metals...................................... 20,650
----------
261,413
----------
GOLD AND PRECIOUS METAL (0.60%)
2,273 Barrick Gold Corp.................................... 68,758
550 Cypress Amax Mineral Co.............................. 14,231
900 Echo Bay Mines Ltd................................... 12,375
1,170 Freeport McMoran Cop.-B.............................. 38,171
800 Homestake Mining Co.................................. 15,500
1,600 Placer Dome, Inc..................................... 45,200
800 Santa Fe Pacific Gold Corp........................... 12,500
----------
206,735
----------
MISCELLANEOUS (0.75%)
2,700 3M Co................................................ 175,838
1,200 Applied Materials, Inc.*............................. 42,900
870 Mallinckrodt Group, Inc.............................. 34,148
100 Nacco Industries Class A............................. 5,575
----------
258,461
----------
Total Manufacturing.................................. 3,018,525
----------
TECHNOLOGY (11.90%)
OFFICE EQUIPMENT (0.07%)
2,100 Novell*.............................................. 25,594
----------
ELECTRONIC (3.29%)
200 EG& G......................................... 4,775
</TABLE>
16
<PAGE> 18
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
ELECTRONIC (CONTINUED)
200 General Signal Co.................................... $ 7,275
200 Harris Corp.......................................... 13,300
3,259 Hewlett-Packard Co................................... 328,344
5,390 Intel Corp........................................... 316,999
3,800 Motorola, Inc........................................ 206,150
1,000 National Semiconductor*.............................. 15,625
1,600 Northern Telecom..................................... 76,000
300 Perkin-Elmer Corp.................................... 13,800
450 Tektronix, Inc....................................... 20,419
1,030 Teledyne, Inc........................................ 28,969
12 Teledyne, Inc. Pref. Srs. E.......................... 185
1,200 Texas Instruments.................................... 59,850
300 Thomas & Betts Co.................................... 21,600
300 Western Atlas, Inc.*................................. 15,788
----------
1,129,079
----------
BIO-TECHNOLOGY (0.41%)
1,700 Amgen*............................................... 101,575
870 Millipore Corp....................................... 38,606
----------
140,181
----------
SOFTWARE (1.87%)
6,368 Bay Networks*........................................ 265,864
3,840 Microsoft Corp.*..................................... 378,960
----------
644,824
----------
BUSINESS-MACHINES & SOFTWARE (3.30%)
300 Amdahl Corp.......................................... 2,513
700 America Online, Inc.*................................ 34,388
600 Apple Computer, Inc.................................. 16,500
400 Ceridian Corp.*...................................... 17,200
1,700 Compaq Computers*.................................... 86,063
100 Cray Research*....................................... 2,838
1,000 Digital Equipment*................................... 72,000
800 Honeywell............................................ 42,400
3,700 IBM.................................................. 453,713
2,340 Intergraph*.......................................... 43,290
2,800 Oracle Systems*...................................... 145,600
1,000 Pitney Bowes Systems................................. 48,250
1,300 Sun Microsystems*.................................... 68,250
900 Tandem Computer, Inc.*............................... 8,663
500 Unisys Corp.......................................... 3,063
700 Xerox Corp........................................... 91,175
----------
1,135,906
----------
BUSINESS SERVICE (0.32%)
1,417 First Data........................................... 98,127
200 Shared Medical Systems............................... 11,150
----------
109,277
----------
SEMI CONDUCTOR (0.27%)
800 Advanced Micro Devices*.............................. 15,500
1,320 LSI Logic Corp.*..................................... 36,465
1,300 Micron Technology, Inc............................... 41,600
----------
93,565
----------
TELECOMMUNICATIONS (0.47%)
3,200 Airtouch Communications*............................. 99,200
520 Cabletron Systems*................................... 39,065
500 Tellabs, Inc.*....................................... 23,625
----------
161,890
----------
AEROSPACE AIRCRAFT (1.75%)
1,900 Allied Signal, Inc................................... 105,688
2,200 Boeing............................................... 178,475
400 General Dynamics Corp................................ 23,850
700 McDonnell Douglas Corp............................... 61,775
300 Northrop Gruman Corp................................. 18,525
1,400 Rockwell Intl. Corp.................................. 79,800
600 Textron, Inc......................................... 47,250
800 United Technologies Corp............................. 86,000
----------
601,363
----------
MISCELLANEOUS (0.15%)
1,070 3 Com Corporation*................................... 52,296
----------
Total Technology..................................... 4,093,975
----------
AEROSPACE-DEFENSE (0.66%)
1,326 Lockheed Martin Corp................................. 101,108
1,000 Loral Co............................................. 47,125
1,600 Raytheon Co.......................................... 80,200
----------
228,433
----------
Total Aerospace-Defense.............................. 228,433
----------
ENERGY (7.99%)
OIL & GAS - DOMESTIC (1.85%)
880 Amerada Hess Corp.................................... 45,320
3,200 Amoco Corp........................................... 222,400
400 Ashland Inc.......................................... 14,650
1,100 Atlantic Richfield................................... 120,450
800 Burlington Resources, Inc............................ 29,100
300 Columbia Gas System, Inc............................. 13,125
100 Helmerich &Payne..................................... 3,350
300 Kerr McGee Co........................................ 17,888
700 Oryx Energy.......................................... 9,013
300 Pennzoil............................................. 11,475
1,700 Phillips Petroleum Co................................ 59,500
300 Santa Fe Energy Resources............................ 2,775
1,480 Sun Co............................................... 43,105
1,600 Unocal Corp.......................................... 48,000
----------
640,151
----------
OIL & GAS INTERNATIONAL (5.16%)
4,200 Chevron Corp......................................... 233,625
8,020 Exxon Corp........................................... 637,590
2,600 Mobil Corp........................................... 285,025
3,500 Royal Dutch Pet.-ADR................................. 482,125
1,700 Texaco............................................... 135,575
----------
1,773,940
----------
OIL & GAS SERVICE (0.35%)
200 Rowan Cos.,Inc.*..................................... 2,175
1,600 Schlumberger......................................... 116,600
----------
118,775
----------
NATURAL GAS (0.18%)
1,600 Enron................................................ 58,600
100 Oneok, Inc........................................... 2,175
----------
60,775
----------
ENERGY RAW MATERIAL (0.45%)
800 Baker Hughes, Inc.................................... 21,100
1,120 Dresser Inds......................................... 31,500
</TABLE>
17
<PAGE> 19
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
ENERGY RAW MATERIAL (CONTINUED)
100 Eastern Enterprises......... $ 3,538
800 Halliburton Co. ............ 43,900
100 Louisiana Land & Explor..... 4,175
200 McDermott International..... 3,850
2,100 Occidental Petroleum........ 48,300
----------
156,363
----------
Total Energy................ 2,750,004
----------
Total Common Stocks
(Cost $25,898,340)............... 31,725,105
===========
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE VALUE
----- -----
<S> <C> <C>
SHORT TERM INVESTMENTS (7.73%)
UNITED STATES TREASURY BILLS
$1,500,000 5.58% 03/09/96 (b) ............................. $ 1,497,525
1,163,116 PORTICO INSTITUTIONAL MONEY MARKET FUND ......... 1,163,116
-----------
Total Short-Term Investments (Cost $2,660,641) .. 2,660,641
-----------
Total Investments (Cost $28,558,981)(99.96%) .... 34,385,746
Other Net Assets (0.04%) ........................ 14,543
-----------
Net Assets (100.00%) ......................... $34,400,289
===========
</TABLE>
- -------------
*Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $28,558,981. At February
29, 1996, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................ $6,480,998
Unrealized depreciation............................ (654,233)
----------
Net unrealized appreciation..................... $5,826,765
==========
</TABLE>
(b) At February 29, 1996, certain United States Treasury Bills and money market
funds with a market value of $100,000 were pledged to cover margin requirements
for futures contracts.
(c) Futures contracts at February 29, 1996
(Contracts-$500 times premium/delivery month/commitment)
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
(DEPRECIATION)
--------------
<S> <C>
S&P 500 Stock Index:
8/June 96/Long.................................. $14,730
-------
</TABLE>
See accompanying notes to financial statements
18
<PAGE> 20
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (91.87%)
CAPITAL GOODS (5.71%)
PRODUCTION (0.21%)
2,358 Rollins Environmental ............................. $ 5,895
1,000 Tecumseh Prod. Co. Cl. A .......................... 56,500
----------
62,395
----------
MACHINERY-INDUSTRIAL (1.31%)
1,200 Albany Intl. Corp. Cl A ........................... 23,250
500 Lawson Products ................................... 11,758
1,200 Modine Manufacturing Co. .......................... 28,200
1,300 Stewart & Stevenson Svcs. ......................... 33,150
3,725 Thermo Electron Corp.* ............................ 203,944
1,400 Watson Pharm, Inc.* ............................... 60,200
1,200 Watts Industry .................................... 22,650
----------
383,152
----------
POLLUTION CONTROL (0.15%)
1,600 Calgon Carbon Corp. ............................... 18,000
1,000 Donaldson Co. Inc. ................................ 27,125
----------
45,125
----------
ENGINEERING & CONSTRUCTION (0.72%)
1,700 CBI Industries, Inc. .............................. 55,888
1,000 Jacobs Engineering Group* ......................... 28,500
1,300 Structural Dyn. Research* ......................... 39,650
1,600 Vulcan Materials Co. .............................. 86,800
----------
210,838
----------
ELECTRICAL EQUIPMENT (2.46%)
1,700 Ametek, Inc. ...................................... 28,263
2,800 Cirrus Logic, Inc.* ............................... 52,675
1,465 Hubble, Inc. Cl. B ................................ 96,690
3,500 Integrated Device Tech.* .......................... 42,000
1,700 IPALCO ............................................ 67,788
2,713 Mark IVIndustries, Inc. ........................... 54,260
4,606 Molex, Inc. ....................................... 162,361
3,700 Teradyne, Inc.* ................................... 75,388
1,400 Varian Assoc. ..................................... 72,800
2,600 Vishay Intertechnology, Inc.* ..................... 68,575
----------
720,800
----------
TRANSPORTATION EQUIPMENT (0.71%)
2,700 Danaher Corp. ..................................... 91,800
2,100 Federal Signal .................................... 53,550
1,900 Trinity Industries ................................ 63,413
----------
208,763
----------
CONGLOMERATE (0.15%)
1,200 Rayonier, Inc. .................................... 41,100
----------
Total Capital Goods ............................... 1,672,173
----------
CONSUMER CYCLICAL (5.76%)
HOUSING (0.27%)
4,193 Clayton Homes, Inc. ............................... 79,143
----------
BUILDING MATERIAL (0.06%)
900 Calmat Co. ........................................ 16,313
----------
AUTO &TRUCK (0.11%)
700 Teleflex, Inc. .................................... 31,150
----------
AUTO PARTS (0.17%)
900 Arvin Inds., Inc. ................................. 19,913
1,200 Superior Industries ............................... 29,850
----------
49,763
----------
TIRE & RUBBER (0.09%)
600 Carlisle Cos., Inc. ............................... 26,175
----------
APPLIANCE (0.04%)
300 National Presto Inds. ............................. 12,375
----------
HOUSEHOLD PRODUCTS (0.16%)
1,800 Fingerhut Cos. .................................... 24,975
800 Stanhome Inc. ..................................... 24,200
----------
49,175
----------
TEXTILE & APPAREL (0.95%)
2,600 Burlington Inds., Inc.* ........................... 29,575
2,100 Cintas Corp. ...................................... 101,850
6,200 Shaw Industries, Inc. ............................. 70,525
3,100 UNIFI, Inc. ....................................... 75,175
----------
277,125
----------
SHOES (0.21%)
1,600 Nine West Group, Inc.* ............................ 62,800
----------
RETAIL-GENERAL (2.97%)
1,500 Bed Bath & Beyond* ................................ 66,938
1,700 Best Buy Co.* ..................................... 28,475
3,100 Callaway Golf Co. ................................. 73,625
1,200 Claire's Stores, Inc. ............................. 18,900
2,595 Dollar General Corp. .............................. 71,687
1,100 Duty Free International ........................... 14,988
2,300 Family Dollar Stores .............................. 31,625
1,700 Fastenal Co. ...................................... 60,988
800 Hancock Fabrics ................................... 7,600
2,200 Heilig-Meyers Co. ................................. 30,800
1,700 Kohls Department Stores* .......................... 105,188
1,200 Macfruegals Bargains* ............................. 18,450
1,100 Meyer, Fred, Inc.* ................................ 26,538
1,300 Micro Warehouse, Inc.* ............................ 61,750
1,700 Tambrands ......................................... 82,025
700 Tiffany & Co. ..................................... 37,625
1,800 Viking Office Products* ........................... 102,375
1,300 Waban, Inc.* ...................................... 29,250
----------
868,827
----------
LODGING(0.73%)
4,600 HFS, Inc. ......................................... 213,900
----------
Total Consumer Cyclical ........................... 1,686,746
----------
CONSUMER NON DURABLE (18.09%)
HEALTH CARE (1.31%)
2,100 Appria Healthcare Group* .......................... 65,625
1,008 Coram Healthcare Corp.* ........................... 4,914
600 Datascope Corp.* .................................. 14,100
1,200 Dentsply Intl., Inc. .............................. 47,550
500 Diagnostic Products Corp. ......................... 18,500
1,400 Healthcare & Retirement Del.* ..................... 56,875
</TABLE>
19
<PAGE> 21
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
HEALTH CARE (CONTINUED)
1,300 Nellcor Puritan Bennett, Inc.* .................... $ 87,100
300 Pacificare Health System* ......................... 28,200
2,347 Value Health, Inc.* ............................... 60,729
----------
383,593
----------
CONSUMER PRODUCTS (0.41%)
1,800 First Brands Corp. ................................ 48,150
1,354 Lancaster Colony Corp. ............................ 51,114
4,000 Service Merchandise Co. ........................... 20,500
----------
119,764
----------
FOOD BEVERAGE & TOBACCO (2.73%)
1,700 Bob Evans Farms ................................... 28,475
5,900 Coca-Cola Enterprises ............................. 167,413
1,800 Dean Foods Co. .................................... 46,125
2,700 Dole Food Company ................................. 108,675
600 Dreyer Grand Ice Cream ............................ 18,300
2,650 Flowers Inds., Inc. ............................... 36,106
800 International Multifoods, Inc. .................... 14,900
1,300 Lance, Inc. ....................................... 20,800
3,700 McCormick & Co. ................................... 84,638
800 Michael Foods, Inc. ............................... 9,500
1,100 Savanna Foods & Inds. ............................. 11,963
1,200 Smucker (J.M.) Co. Cl. A .......................... 24,150
6,600 Tyson Foods, Inc. Cl. A ........................... 148,500
1,400 Universal Corp. ................................... 37,625
1,100 Universal Foods Corp. ............................. 41,663
----------
798,833
----------
RETAIL-FOOD & BEVERAGE (0.76%)
400 Angelica Corp. .................................... 8,450
1,954 Hannaford Brothers Co. ............................ 53,735
3,000 Revco D.S., Inc.* ................................. 83,250
1,800 Ruddick Corp. ..................................... 19,800
2,000 Vons Co.* ......................................... 57,500
----------
222,735
----------
COMMUNICATIONS & MEDIA (1.49%)
1,800 Belo (A.H.) Corp. Sr. A ........................... 63,000
600 CPI Corp. ......................................... 9,150
3,800 Home Shopping Network* ............................ 39,900
1,000 Information Resources* ............................ 14,625
3,200 Omnicom Group ..................................... 130,800
1,000 TCA Cable TV, Inc. ................................ 33,750
500 Washington Post, Class B .......................... 144,000
----------
435,225
----------
ENTERTAINMENT & LEISURE(1.32%)
1,166 Chris Craft Industries* ........................... 49,409
4,700 Circus Circus Enterprises, Inc.* .................. 149,813
4,100 Mirage Resorts* ................................... 190,138
----------
389,360
----------
APPAREL (0.33%)
900 Ann Taylor Stores* ................................ 15,638
2,050 CML Group, Inc .................................... 7,944
1,200 Jones Apparel Group* .............................. 49,650
1,400 Lands End ......................................... 23,625
----------
96,857
----------
DRUGS (2.00%)
1,770 Bergen Brunswig Corp. Cl A ........................ 42,701
1,800 Carter-Wallace, Inc. .............................. 24,975
2,100 Forest Laboratories Cl A* ......................... 109,200
5,200 IVAX Corp. ........................................ 148,850
2,000 McKesson Corp. .................................... 104,500
5,400 Mylan Laboratories ................................ 105,300
1,100 R P Scherer Corp.* ................................ 48,400
----------
583,926
----------
HOSPITAL SUPPLY & SERVICE (0.96%)
1,100 Acuson Corp.* ..................................... 16,363
5,620 Laboratory Corp. of Am. Hld.* ..................... 43,555
1,100 Pacificare Health Sys. A* ......................... 102,300
2,200 Stryker Corp. ..................................... 119,350
----------
281,568
----------
COSMETICS & SOAP (0.06%)
800 Church and Dwight ................................. 16,200
----------
TRAVEL & RECREATION (0.20%)
2,300 Promus Hotel Corp.* ............................... 59,800
----------
PRINTING & PUBLISHING (0.71%)
800 Banta Corp. ....................................... 33,600
600 Gibson Greetings, Inc. ............................ 8,625
2,000 Glatfelter (P.H.) Co. ............................. 33,250
600 Houghton Mifflin Co. .............................. 26,550
2,200 Lee Enterprises ................................... 47,575
1,100 Media General Inc. Cl. A .......................... 41,113
1,900 The Topps Co. ..................................... 9,263
800 Western Pub. Group, Inc.* ......................... 7,550
----------
207,526
----------
RESTAURANT (0.87%)
3,400 Brinker International* ............................ 46,325
1,200 Buffets, Inc.* .................................... 14,700
2,700 Cracker Barrel Old Country ........................ 56,700
1,000 Intl. Dairy Queen, Inc.* .......................... 21,500
1,450 Morrison Restaurants, Inc. ........................ 24,288
2,000 Outback Steakhouse, Inc.* ......................... 71,000
750 Sbarro, Inc. ...................................... 18,656
----------
253,169
----------
BUSINESS SERVICE (1.14%)
2,400 Comdisco .......................................... 49,200
700 Ennis Business Forms .............................. 7,875
2,300 Noble Affiliates .................................. 70,438
2,100 Paychex, Inc. ..................................... 115,762
700 PHH Corporation ................................... 35,088
1,000 Wallace Computer Services ......................... 56,000
----------
334,363
----------
OFFICE PRODUCTS (1.27%)
700 Cross (A.T.) Co. A ................................ 10,850
1,300 Hon Inds. ......................................... 28,275
1,400 Intellegent Electronics, Inc. ..................... 9,625
1,000 Miller (Herman), Inc. ............................. 32,125
6,800 Office Depot* ..................................... 141,950
1,200 Standard Register Co. ............................. 26,700
4,700 Staples, Inc.* .................................... 121,612
----------
371,137
----------
HEALTHCARE SERVICES (2.39%)
2,200 Cardinal Health, Inc. ............................. 132,550
</TABLE>
20
<PAGE> 22
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
HEALTHCARE SERVICES (CONTINUED)
2,600 Foundation Health Corp.* ............................... $ 101,400
1,600 Healthcare Compare Corp.* .............................. 78,000
6,193 Healthsouth Corp.* ..................................... 216,755
2,209 Horizon/CMS Hlthcare Corp.* ............................ 52,464
2,500 Novacare, Inc.* ........................................ 17,813
2,700 Vencor, Inc.* .......................................... 100,913
----------
699,895
----------
HEALTH & BEAUTY AIDS (0.14%)
3,000 Perrigo Co.*............................................ 42,000
----------
Total Consumer Non-Durable.............................. 5,295,951
----------
BANKING & FINANCIAL SERVICES (14.94%)
BANK & BANK HOLDING COS. (7.27%)
1,850 Bancorp Hawaii, Inc..................................... 64,288
1,800 Central Fidelity Banks, Inc............................. 61,200
1,784 City National Corp...................................... 24,530
1,700 Crestar Financial Corp. ................................ 99,450
1,300 Dauphin Deposit Corp.................................... 38,025
4,500 Fifth Third Bancorp..................................... 230,625
2,900 First of America Bancorp ............................... 126,875
3,450 First Security Corp. Del................................ 92,719
3,200 First Tennesse Ntl., Corp............................... 100,800
1,500 First Virginia Banks, Inc............................... 59,813
5,400 Hibernia Bank........................................... 58,050
4,200 Marshall and Isley Corp. ............................... 104,475
2,550 Merchantile Bancorporation.............................. 114,750
2,200 Mercantile Bankshares Corp. ............................ 58,025
2,600 Meridian Bancorp........................................ 133,900
2,500 Northern Trust ......................................... 131,875
4,000 Pinnacle West........................................... 113,500
2,100 Regions Financial Corp.................................. 96,338
3,800 Southtrust Corp......................................... 98,325
3,800 State Street Boston Corp................................ 171,950
2,600 United Jersey Bank...................................... 98,800
1,500 Wilmington Trust Corp. ................................. 49,875
----------
2,128,188
----------
FINANCE COMPANY (0.17%)
3,800 Nabors Inds.*........................................... 48,925
----------
INVESTMENT COMPANY (0.44%)
5,321 Bear Stearns Cos., Inc.................................. 129,034
----------
INSURANCE (3.97%)
4,375 AFLAC Corp.............................................. 202,891
2,400 American Fin. Group, Inc................................ 76,500
4,850 AON Corp................................................ 252,200
1,800 FHP International Corp.* .............................. 58,950
800 Hartford Steam ........................................ 40,100
2,700 Healthsource, Inc.* .................................... 102,263
3,300 Progressive Corp........................................ 151,800
2,100 Provident Cos. ......................................... 71,138
2,500 SunAmerica ............................................. 136,250
1,000 Transatlantic Holdings, Inc............................. 70,250
----------
1,162,342
----------
FINANCIAL SERVICES (3.09%)
7,900 Charles Schwab Corp..................................... $ 201,450
2,825 AG Edwards.............................................. 68,506
6,500 Equifax................................................. 134,875
3,700 Franklin Resources, Inc................................. 213,213
6,200 Green Tree Financial Corp. ............................. 196,075
4,500 Paine Webber............................................ 89,438
----------
903,557
----------
Total Banking & Finance ................................ 4,372,046
----------
UTILITY (13.12%)
ELECTRIC (9.00%)
5,400 Allegheny Power System ................................. 157,275
2,400 Atlantic Energy, Inc.................................... 43,800
600 Black Hills Corp........................................ 15,450
900 Central Louisiana Electric.............................. 23,738
1,300 Central Maine Power Co. ................................ 19,013
4,000 CMS Energy Corp......................................... 121,500
2,700 Delmarva Power & Light.................................. 59,738
4,300 Florida Progress Corp................................... 152,113
1,300 Hawaiian Electric Inds.................................. 49,238
1,700 Idaho Power Co.......................................... 49,300
3,400 Illinova Corp........................................... 96,900
2,800 Kansas City Power & Light............................... 71,050
1,500 LG&E Energy Corp........................................ 64,500
4,664 Midamerican Energy Co................................... 84,535
1,400 Minnesota Power & Light................................. 38,325
2,500 Montana Power Co. ..................................... 54,688
2,100 Nevada Power Co......................................... 45,675
2,900 New Eng. Elect. System ................................ 112,013
3,200 New York State Elec. & Gas.............................. 75,600
2,900 Nipsco Industries....................................... 109,475
5,700 Northeast Utilities..................................... 126,825
1,800 Oklahoma Gas &Electric ................................ 74,250
2,300 Portland General Corp................................... 70,438
5,400 Potomac Electric Power Co............................... 142,425
2,900 Public Service Co. of Colo.............................. 102,225
1,700 Public Service Co. of N. Mex.*.......................... 30,175
2,900 Puget Sound Power & Light............................... 72,500
4,700 SCANA Corp.............................................. 129,250
1,900 Southwestern Pub. Svc. Co............................... 61,038
5,300 Teco Energy, Inc........................................ 132,500
2,100 Utilicorp United Inc.................................... 61,950
5,000 Wisc. Energy Corp....................................... 144,375
1,400 WPL Holdings, Inc....................................... 43,400
----------
2,635,277
----------
GAS (0.83%)
2,500 Atlanta Gas Light Co.................................... 45,313
2,200 Brooklyn Union Gas Co................................... 57,475
900 Indiana Energy, Inc..................................... 22,500
3,000 MCN Corp................................................ 75,375
1,900 Washington Gas Light Co. ............................... 41,325
----------
241,988
----------
TELEPHONE (3.15%)
2,600 Century Telephone Entps................................. 87,425
7,300 Frontier Corp........................................... 219,000
</TABLE>
21
<PAGE> 23
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C>
TELEPHONE (CONTINUED)
1,700 Lincoln Telecommunications....................... $ 33,575
2,900 Southern New Eng. TeleCom........................ 118,538
2,600 Telephone & Data................................. 119,925
8,686 Worldcom, Inc.*.................................. 342,011
----------
920,474
----------
MISCELLANEOUS (0.14%)
1,900 Vangaurd Cellular Sys. Cl. A*.................... 41,800
----------
Total Utility.................................... 3,839,539
----------
SERVICE (2.03%)
DISTRIBUTOR (0.49%)
2,100 Alexander & Baldwin, Inc......................... 49,350
1,200 American Water Works, Inc........................ 45,600
700 Scholastic Corp.*................................ 48,825
----------
143,775
----------
BUSINESS (1.32%)
1,100 Applied Bioscience, Inc.*........................ 7,838
2,000 Fiserv, Inc.*.................................... 62,000
1,400 Flightsafety Intl................................ 74,725
1,700 Kelly Services, Inc. Cl. A....................... 48,875
3,400 Man Power, Inc. Com. Stock....................... 106,675
1,900 Olsten Corp...................................... 86,925
----------
387,038
----------
CONSUMER (0.22%)
1,400 Rollins, Inc..................................... 30,800
2,200 Sotheby's........................................ 32,725
----------
63,525
----------
Total Service.................................... 594,338
----------
TRANSPORTATION (1.82%)
TRANSPORTATION-GROUND (0.23%)
1,500 Hunt (J.B.)...................................... 27,375
1,800 Pittson Brink's Group............................ 42,075
----------
69,450
----------
AIR TRANSPORTATION (0.26%)
1,000 Airbourne Freight Corp. ........................... 27,875
500 Alaska Airgroup, Inc.* ............................ 11,125
1,400 Atlantic SEAirlines ............................... 36,750
----------
75,750
----------
RAILROAD (0.68%)
900 Gatx Corp........................................ 40,388
1,900 Illinois Central Corp. Cl. A..................... 70,775
1,900 Kansas City Southern Inds. ...................... 88,113
----------
199,276
TRUCKING (0.06%)
1,100 Arnold Inds., Inc................................ 17,463
----------
MISCELLANEOUS (0.59%)
1,100 American President Cos. Ltd...................... 23,100
3,400 Harley Davidson.................................. 121,975
1,400 Overseas Shipholding Group....................... 26,250
----------
171,325
----------
Total Transportation ............................ 533,264
----------
MANUFACTURING (11.81%)
CONSUMER DURABLE (0.30%)
3,800 Leggett & Platt ............................. $ 88,825
----------
BUILDING & HOUSING (0.05%)
700 Southdown ................................... 15,575
----------
CHEMICAL (3.67%)
3,000 Albemarle Corp. ............................. 57,750
1,300 Betz Labs ................................... 56,875
1,700 Cabot Corp. ................................. 102,850
2,100 Crompton & Knowles Corp. .................... 28,350
1,000 Dexter Corp. ................................ 23,500
5,400 Ethyl Corp. ................................. 58,050
1,200 Ferro Corp. ................................. 30,600
600 Fuller (H.B.) Corp. ......................... 21,600
1,600 Georgia Gulf Corp. .......................... 51,000
2,700 IMC Global, Inc. ............................ 111,375
4,400 Iowa Beef Processing ........................ 110,000
1,800 Lawter International ........................ 19,350
1,600 Loctite Corp. ............................... 84,800
2,900 Lubrizol Corp. .............................. 84,825
3,600 Lyondell Petrochemical ...................... 96,750
400 NCH Corp .................................... 21,050
3,375 RPM, Inc. Ohio .............................. 49,781
1,500 Schulman (A.), Inc. ......................... 34,125
2,200 Sterling Chemicals, Inc. .................... 26,125
----------
1,068,756
----------
DIVERSIFIED (0.87%)
800 Goulds Pumps, Inc. .......................... 17,300
600 Lukens, Inc. ................................ 15,750
800 Nordson Corp. ............................... 45,200
1,100 Olin Corp. .................................. 91,025
2,600 Witco Corp. ................................. 84,825
----------
254,100
----------
CAPITAL GOOD (0.56%)
1,200 Kennametal, Inc. ............................ 38,850
1,400 Keystone Intl., Inc. ........................ 28,175
1,000 Magnetek, Inc.* ............................. 7,000
1,900 York Intl. Corp. New Com .................... 90,963
----------
164,988
----------
PAPER & FOREST PRODUCT (1.05%)
1,800 Bowater, Inc. ............................... 66,600
1,000 Chesapeake Corp. ............................ 25,750
2,000 Consolidated Papers ......................... 102,250
2,100 Longview Fibre Co. .......................... 34,125
1,700 Pentair, Inc. ............................... 45,050
1,512 Wausau Paper Mills Co. ...................... 34,020
----------
307,795
----------
METAL & MINERALS (0.65%)
3,100 Allegheny Ludlum Corp. ...................... 56,575
600 Brush Wellman ............................... 11,700
600 Carpenter Technology ........................ 21,750
1,650 Hanna (M.A.)Co .............................. 46,613
300 Maxxam, Inc.* ............................... 13,500
800 Minerals Technology, Inc. ................... 28,900
800 Oregon Steel Mills, Inc. .................... 10,500
----------
189,538
----------
</TABLE>
22
<PAGE> 24
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
CONTAINER (0.66%)
500 Cleveland Cliffs Corp................................... $ 22,250
1,900 Sealed Air Corp.*....................................... 56,050
4,175 Sonoco Products, Inc.................................... 114,291
----------
192,591
----------
COMPUTER (2.81%)
2,044 AST Research, Inc.* .................................... 13,573
4,100 Dell Computer Corp.* ................................ 140,938
10,300 EMC Corp. Mass.*........................................ 226,600
800 Exabyte Corp.*.......................................... 11,400
700 Measurex Corp........................................... 20,038
2,300 Quantum Corp.*.......................................... 39,388
4,360 Seagate Technology, Inc.*............................... 284,490
1,200 Sequent Computer Systems *.............................. 14,100
2,414 Storage Technology Corp.* ............................. 73,024
----------
823,551
----------
NON FERROUS METALS (0.34%)
2,000 Alumax, Inc.*........................................... 72,250
1,100 Federal Mogul Corp...................................... 25,900
----------
98,150
----------
GOLD & PRECIOUS METAL (0.37%)
3,200 Battle Mountain Gold Co................................. 34,800
1,400 Harsco Corp............................................. 72,600
----------
107,400
----------
MISCELLANEOUS (0.48%)
5,900 International Game Tech. ............................... 87,025
700 Kaydon Corp............................................. 23,100
1,300 Wellman, Inc............................................ 29,413
----------
139,538
----------
Total Manufacturing..................................... 3,450,807
----------
TECHNOLOGY (13.70%)
OFFICE EQUIPMENT (0.27%)
2,100 Diebold................................................. 82,425
----------
ELECTRONIC (1.90%)
2,137 Arrow Electronics, Inc.*................................ 105,247
2,000 Avnet, Inc.............................................. 99,750
2,100 Litton Inds.*........................................... 106,050
3,300 Sensormatic Elect. Corp................................. 68,888
1,900 Solectron Corp.*........................................ 92,150
1,200 Symbol Technologies, Inc.* ............................. 45,600
900 Verifone, Inc.*......................................... 40,275
----------
557,960
----------
BIOTECHNOLOGY (1.76%)
1,200 Beckman Instruments, Inc................................ 43,500
1,600 Biogen, Inc.*........................................... 104,600
2,600 Centocor, Inc.*......................................... 75,725
1,803 Chiron Corp.*........................................... 200,358
1,300 Genzyme Corp.*.......................................... 89,700
----------
513,883
----------
SOFTWARE (3.39%)
3,300 Adobe Systems, Inc...................................... 110,550
2,200 BMC Software, Inc.*..................................... 122,650
1,100 Borland Intl.*.......................................... 21,313
2,550 Cadence Design System, Inc.*............................ 113,794
1,800 Compuware Corp.*........................................ 41,400
2,300 Electronic Arts*........................................ 57,500
6,100 Informix Corp.*......................................... 215,025
1,800 Parametric Tech. Co.*................................... 208,250
1,900 Reynolds & Reynolds Cl. A............................... 71,963
2,300 Symantec Corp.*......................................... 29,325
----------
991,770
----------
BUSINESS-MECHANICS & SOFTWARE (0.65%)
600 Advance Labs Tech.*..................................... 17,850
2,700 American Online, Inc.*.................................. 132,638
500 Granite Construction, Inc............................... 13,875
900 Stratus Computer*....................................... 26,100
----------
190,463
----------
BUSINESS-SERVICE (0.16%)
900 Policy Mgmt. Systems Corp.*............................. 46,013
----------
SEMICONDUCTOR (2.27%)
2,000 Altera Corp.*........................................... 130,500
4,400 Atmel Corp.*............................................ 117,700
3,800 Cypress Semiconductor*.................................. 48,450
3,300 Linear Technology Corp. ................................ 153,450
2,500 Maxim Integrated Products*.............................. 90,625
3,200 Xilinx, Inc.*........................................... 123,600
----------
664,325
----------
TELECOMMUNICATIONS (1.96%)
2,800 ADC Telecommunications, Inc............................. 111,300
2,100 Comsat Corp............................................. 48,563
9,614 Nextel Communications* ................................ 145,412
1,100 Octel Communications*................................... 43,863
1,800 U S Robotics Corp.*..................................... 223,200
----------
572,338
----------
AEROSPACE AIRCRAFT (0.49%)
950 Precision Castparts..................................... 37,288
1,400 Sunstrand Corp.......................................... 105,525
----------
142,813
----------
MISCELLANEOUS (0.85%)
4,200 Amer. Pwr. Conversion Corp.*............................ 44,100
5,100 Analog Devices*......................................... 137,062
1,150 Duriron Co.............................................. 31,338
2,500 Mentor Graphics......................................... 35,625
----------
248,125
----------
Total Technology........................................ 4,010,115
----------
AEROSPACE-DEFENSE (0.30%)
1,300 GenCorp, Inc............................................ 16,900
800 OEA, Inc................................................ 26,000
700 Rohr, Inc.*............................................. 12,600
800 Thiokol................................................. 32,800
----------
88,300
----------
Total Aerospace-Defense ............................... 88,300
----------
</TABLE>
23
<PAGE> 25
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
ENERGY (4.59%)
OIL &GAS-DOMESTIC (2.56%)
2,700 Anadarko Petroleum Corp................................. $ 147,150
3,500 Apache Corp............................................. 91,000
1,200 Diamond Shamrock, Inc................................... 36,600
1,500 El Paso Natural Gas..................................... 50,625
1,400 Mapco, Inc.............................................. 76,300
2,000 Murphy Oil Corp......................................... 83,500
1,700 National Fuel Gas Co.................................... 54,613
1,600 Parker &Parsley Petro Co................................ 34,400
1,100 Quaker State Corp....................................... 15,400
1,800 Questar................................................. 56,700
1,500 Seagull Energy Corp.*................................... 28,313
1,700 Tosco Corp.............................................. 75,863
-----------
750,464
-----------
OIL &GAS-INTERNATIONAL (0.37%)
2,200 Parker Drilling Co.*.................................... 13,200
3,900 Ranger Oil Ltd.......................................... 24,375
2,291 Weatherford Enterra, Inc.*.............................. 70,128
-----------
107,703
-----------
OIL &GAS SERVICE (0.97%)
1,300 BJ Services*............................................ $ 35,913
2,200 Ensco Intl., Inc.*...................................... 53,075
7,500 Global Marine, Inc.*.................................... 66,563
1,600 Smith International. Inc.*.............................. 32,600
2,400 Tidewater, Inc.......................................... 81,900
1,100 Varco Intl., Inc.*...................................... 13,063
-----------
283,114
-----------
ENERGY-RAW MATERIALS (0.46%)
3,393 AES Corp................................................ 83,128
2,300 California Energy*...................................... 51,175
-----------
134,303
-----------
MISCELLANEOUS (0.23%)
1,000 Air & Water Tech. Cl. A*................................ 6,500
400 Sequa Corp.*............................................ 13,500
2,000 Valero Energy Corp...................................... 47,250
-----------
67,250
-----------
Total Energy ........................................... 1,342,834
-----------
Total Common Stock
(cost $21,785,625)............................................... 26,886,113
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
-----
<S> <C>
SHORT-TERM INVESTMENTS ( 8.10%)
UNITED STATES TREASURY BILLS
$1,500,000 5.58% 03/09/96 (b) ......................... 1,497,286
874,445 PORTICO INSTITUTIONAL MONEY MARKET FUND......... 874,445
-----------
Total Short-Term Investments (Cost $2,371,731).. 2,371,731
-----------
Total Investments (Cost $24,157,356)(99.97%).... 29,257,844
Other Net Assets (0.03%)........................ 9,765
-----------
Net Assets (100.00%)......................... $29,267,609
=========== -------------
</TABLE>
24
<PAGE> 26
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $24,157,356. At February
29, 1996, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized appreciation ............................ $ 6,528,313
Unrealized depreciation ............................ (1,427,825)
-----------
Net unrealized appreciation ..................... $ 5,100,488
===========
</TABLE>
(b) At February 29, 1996, certain United States Treasury Bills and money market
funds with a market value of $53,400 were pledged to cover margin requirements
for futures contracts.
(c) Futures contracts at February 29, 1996
(Contracts-$500 times premium/delivery month/commitment)
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
(DEPRECIATION)
------------
<S> <C>
S&P 400 Index:
13/March 96/Long ........................... $ 57,570
7/June 96/Long ............................ 18,955
-----------
$ 76,525
===========
</TABLE>
See accompanying notes to financial statements
25
<PAGE> 27
STATEMENTS OF ASSETS AND LIABILITIES
February 29, 1996
(unaudited)
<TABLE>
<CAPTION>
CALIFORNIA CALIFORNIA CALIFORNIA
TAX-FREE TAX-FREE INSURED
MONEY MARKET INCOME INTERMEDIATE
FUND FUND FUND
------------ ---------- ------------
<S> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$92,921,136, $188,890,991 and $22,059,955
respectively) (Note 1) ........................................ $92,921,136 $202,114,813 $22,802,681
Cash .......................................................... 20,605 88,980 17,764
Interest receivable ........................................... 770,778 2,637,141 370,963
----------- ------------ -----------
Total Assets .............................................. 93,712,519 204,840,934 23,191,408
----------- ------------ -----------
LIABILITIES
Payable for investments ....................................... 1,600,000 -- --
Payable to Investment Advisor.................................. 19,085 78,974 5,832
Accrued expenses............................................... 10,826 57,178 7,765
Distributions payable.......................................... 201,199 797,798 79,361
----------- ------------ -----------
Total Liabilities ......................................... 1,831,110 933,950 92,958
----------- ------------ -----------
Net Assets:
(Applicable to 91,943,203, 16,052,278 and
2,162,428 shares of beneficial interest with no
par value, unlimited number of shares
authorized) ................................................... $91,881,409 $203,906,984 $23,098,450
=========== ============ ===========
Pricing of Shares:
Net asset value, offering and
redemption price per share
$91,881,409 / 91,943,203 shares ............................... $ 1.00
======
$203,906,984 / 16,052,278 shares .............................. $ 12.70
=======
$23,098,450 / 2,162,428 shares ................................ $ 10.68
=======
Net assets at February 29, 1996 consisted of:
Paid-in capital ............................................ $91,943,203 $191,029,098 $22,371,714
Undistributed net investment income ........................ -- 27,040 2,666
Accumulated net realized losses ............................ (61,794) (372,976) (18,656)
Unrealized appreciation of investments ..................... -- 13,223,822 742,726
----------- ------------ -----------
$91,881,409 $203,906,984 $23,098,450
=========== ============ ===========
</TABLE>
See accompanying notes to financial statements
26
<PAGE> 28
STATEMENTS OF ASSETS AND LIABILITIES
February 29, 1996
(unaudited)
<TABLE>
<CAPTION>
U.S. THE UNITED
GOVERNMENT STATES S&P 500 S&P MIDCAP
SECURITIES TREASURY INDEX INDEX
FUND TRUST FUND FUND
---------- ---------- ------- ----------
<S> <C> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$29,215,988, $44,500,167, $28,558,981
and $24,157,356 respectively) (Note 1) ........... $30,329,174 $44,500,167 $34,385,746 $29,257,844
Cash ............................................. 50,040 6,296 1,022 417
Interest receivable .............................. 273,516 -- 6,552 2,558
Dividends receivable ............................. -- -- 67,788 39,354
Receivable from Investment Advisor................ -- -- 3,306 --
----------- ----------- ----------- -----------
Total assets .................................. 30,652,730 44,506,463 34,464,414 29,300,173
----------- ----------- ----------- -----------
LIABILITIES
Variation margin payable.......................... -- -- 60,665 28,085
Payable to Investment Advisor..................... 11,135 12,529 -- 2,338
Accrued expenses ................................. 5,175 6,126 3,460 2,141
Distributions payable............................. 149,532 205,198 -- --
----------- ----------- ----------- -----------
Total Liabilities ............................. 165,842 223,853 64,125 32,564
----------- ----------- ----------- -----------
Net Assets:
(Applicable to 2,826,688, 44,270,589,
2,364,847 and 2,062,857 shares of
beneficial interest with no par value,
unlimited number of shares authorized) ........... $30,486,888 $44,282,610 $34,400,289 $29,267,609
Pricing of Shares: =========== =========== =========== ===========
Net asset value, offering and
redemption price per share
$30,486,888 / 2,826,688 shares ................... $ 10.79
=======
$44,282,610 / 44,270,589 shares .................. $1.00
=====
$34,400,289 / 2,364,847 shares ................... $ 14.55
=======
$29,267,609 / 2,062,857 shares ................... $ 14.19
========
Net assets at February 29, 1996 consisted of:
Paid-in capital .................................. $29,109,284 $44,270,589 $28,283,130 $23,653,293
Undistributed net investment income .............. 5,197 -- 136,614 73,628
Undistributed net realized gains ................. 259,221 12,021 168,510 363,675
Unrealized appreciation of investments ........... 1,113,186 -- 5,826,765 5,100,488
Unrealized appreciation (depreciation)
of futures contracts........................... -- -- (14,730) 76,525
----------- ----------- ----------- -----------
$30,486,888 $44,282,610 $34,400,289 $29,267,609
=========== =========== =========== ===========
</TABLE>
See accompanying notes to financial statements
27
<PAGE> 29
STATEMENTS OF OPERATIONS
For the Six Months ended February 29, 1996
(unaudited)
<TABLE>
<CAPTION>
CALIFORNIA CALIFORNIA CALIFORNIA
TAX-FREE TAX-FREE INSURED
MONEY MARKET INCOME INTERMEDIATE
FUND FUND FUND
------------ ---------- ------------
<S> <C> <C> <C>
Investment Income:
Interest income ..................................... $1,565,110 $ 5,571,121 $582,562
---------- ----------- --------
Expenses:
Management fees (Note 2) ............................ 215,753 479,470 59,830
Transfer agent fees ................................. 18,157 37,680 5,120
Accounting services ................................. 12,526 36,291 14,059
Custodian fees ...................................... 12,438 18,061 2,750
Legal and audit fees ................................ 9,958 35,486 2,391
Trustees fees ....................................... 2,087 2,022 2,015
Insurance ........................................... 533 1,288 154
Printing ............................................ 2,349 6,975 906
Registration & dues ................................. 852 1,669 625
---------- ----------- --------
Total expenses .................................. 274,653 618,942 87,850
Less reimbursement from manager (Note 2)... (102,034) -- (22,036)
---------- ----------- --------
Net expenses .................................... 172,619 618,942 65,814
---------- ----------- --------
Net investment income ...................... 1,392,491 4,952,179 516,748
---------- ----------- --------
Realized and Unrealized Gain on Investments:
Net realized gain from security transactions ........ 310 896,199 265,187
Increase in unrealized appreciation of investments... -- 7,083,264 167,012
---------- ----------- --------
Net realized and unrealized gain on
investments ..................................... 310 7,979,463 432,199
---------- ----------- --------
Net increase in net assets resulting
from operations ................................. $1,392,801 $12,931,642 $948,947
========== =========== ========
</TABLE>
See accompanying notes to financial statements
28
<PAGE> 30
STATEMENTS OF OPERATIONS
For the Six Months ended February 29, 1996
(unaudited)
<TABLE>
<CAPTION>
U.S. THE UNITED
GOVERNMENT STATES S&P 500 S&P MIDCAP
SECURITIES TREASURY INDEX INDEX
FUND TRUST FUND FUND
---------- ---------- ------- ----------
<S> <C> <C> <C> <C>
Investment Income:
Interest income ....................................... $1,025,899 $998,826 $ 36,709 $ 27,529
Dividend income........................................ -- -- 330,340 270,387
---------- -------- ---------- ----------
Total 1,025,899 998,826 367,049 297,916
Expenses:
Management fees (Note 2) .............................. 77,777 93,324 38,920 56,861
Transfer agent fees ................................... 8,222 5,291 10,645 11,000
Accounting services ................................... 11,768 11,063 13,152 11,671
Custodian fees ........................................ 3,710 3,901 6,909 6,807
Legal and audit fees .................................. 7,178 7,366 4,612 4,976
Trustees fees ......................................... 1,515 1,629 1,573 1,547
Insurance ............................................. 199 294 3,485 174
Printing .............................................. 1,558 788 2,667 2,614
Registration & dues ................................... 857 895 797 821
Standard & Poor's licensing fees....................... -- -- 5,275 5,203
---------- -------- ---------- ----------
Total expenses .................................... 112,784 124,551 88,035 101,674
Less reimbursement from manager (Note 2) .... (13,359) (49,892) (62,046) (47,780)
---------- -------- ---------- ----------
Net expenses ...................................... 99,425 74,659 25,989 53,894
---------- -------- ---------- ----------
Net investment income ........................ 926,474 924,167 341,060 244,022
---------- -------- ---------- ----------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain from security transactions .......... 320,343 5,963 9,720 796,954
Net realized gain from futures contracts............... -- -- 354,790 222,245
Increase in unrealized appreciation of investments..... 36,807 -- 2,849,915 1,309,667
Decrease in unrealized gain from futures contracts..... -- -- (81,355) (209,760)
---------- -------- ---------- ----------
Net realized and unrealized gain on
investments ....................................... 357,150 5,963 3,133,070 2,119,106
---------- -------- ---------- ----------
Net increase in net assets resulting
from operations ................................... $1,283,624 $930,130 $3,474,130 $2,363,128
========== ======== ========== ==========
</TABLE>
See accompanying notes to financial statements
29
<PAGE> 31
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE CALIFORNIA TAX-FREE
MONEY MARKET FUND INCOME FUND
------------------- -------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 1996 AUGUST 31, FEBRUARY 29, 1996 AUGUST 31,
(UNAUDITED) 1995 (UNAUDITED) 1995
----------------- ---------- ----------------- ----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ...................... $ 1,392,491 $ 2,705,783 $ 4,952,179 $ 10,166,949
Net realized gain (loss) on investments..... 310 (7,604) 896,199 (1,269,174)
Increase in unrealized
appreciation of investments ............. --- --- 7,083,264 4,388,088
----------- ----------- ------------ ------------
Net increase in net
assets resulting from operations ........ 1,392,801 2,698,179 12,931,642 13,285,863
Undistributed investment income
included in price of shares sold
and repurchased ....................... --- --- 33,872 (113,983)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income .................................. (1,392,491) (2,705,783) (4,985,625) (10,989,636)
Distributions from realized capital
gains on investments .................... --- --- --- (3,411,745)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ......................... 11,469,522 (5,515,970) (118,474) (27,812,252)
----------- ----------- ------------ ------------
Total increase (decrease) .................. 11,469,832 (5,523,574) 7,861,415 (29,041,753)
NET ASSETS
Beginning of period ........................ 80,411,577 85,935,151 196,045,569 225,087,322
----------- ----------- ------------ ------------
End of period* ............................. $91,881,409 $80,411,577 $203,906,984 $196,045,569
=========== =========== ============ ============
* Including undistributed net
investment income of: $ --- $ --- $ 27,040 $ 18,129
=========== =========== ============ ============
</TABLE>
See accompanying notes to financial statements
30
<PAGE> 32
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
CALIFORNIA INSURED U.S. GOVERNMENT
INTERMEDIATE FUND SECURITIES FUND
---------------------------------- --------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 1996 AUGUST 31, FEBRUARY 29, 1996 AUGUST 31,
(UNAUDITED) 1995 (UNAUDITED) 1995
----------------- ------------ ----------------- ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ................... $ 516,748 $ 946,107 $ 926,474 $ 1,907,404
Net realized gain (loss) on investments 265,187 (286,016) 320,343 185,598
Increase in unrealized
appreciation of investments .......... 167,012 980,269 36,807 743,511
------------ ------------ ------------ ------------
Net increase in net
assets resulting from operations ..... 948,947 1,640,360 1,283,624 2,836,513
Undistributed investment income
included in price of shares sold
and repurchased .................... (4,657) (191) (451) (9,780)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ............................... (512,283) (1,017,602) (925,893) (2,066,368)
Distributions from realized capital
gains on investments ................. --- (2,172) --- ---
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ...................... (848,976) 1,094,869 245,709 (1,104,006)
------------ ------------ ------------ ------------
Total increase (decrease) ............... (416,969) 1,715,264 602,989 (343,641)
NET ASSETS
Beginning of period ..................... 23,515,419 21,800,155 29,883,899 30,227,540
------------ ------------ ------------ ------------
End of period* .......................... $ 23,098,450 $ 23,515,419 $ 30,486,888 $ 29,883,899
============ ============ ============ ============
* Including undistributed net
investment income of: ........... $ 2,666 $ 4,916 $ 5,197 $ 5,068
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
31
<PAGE> 33
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
THE UNITED STATES
TREASURY TRUST
--------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 1996 AUGUST 31,
(UNAUDITED) 1995
----------------- ------------
<S> <C> <C>
OPERATIONS:
Net investment income ................... $ 924,167 $ 1,437,605
Net realized gain on investments ........ 5,963 21,715
------------ ------------
Net increase in net
assets resulting from operations ..... 930,130 1,459,320
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ............................... (924,167) (1,437,605)
Distributions from realized capital
gains on investments ................. --- (18,771)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions ...................... 14,479,541 10,526,034
------------ ------------
Total increase .......................... 14,485,504 10,528,978
NET ASSETS
Beginning of period ..................... 29,797,106 19,268,128
------------ ------------
End of period* .......................... $ 44,282,610 $ 29,797,106
============ ============
* Including undistributed net
investment income of: ............. $ --- $ ---
============ ============
</TABLE>
See accompanying notes to financial statements
32
<PAGE> 34
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
S&P 500 S&P MIDCAP
INDEX FUND INDEX FUND
------------------------------- --------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 1996 AUGUST 31, FEBRUARY 29, 1996 AUGUST 31,
(UNAUDITED) 1995 (UNAUDITED) 1995
----------------- ------------ ----------------- ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ................ $ 341,060 $ 540,701 $ 244,022 $ 467,567
Net realized gain on investments ..... 9,720 126,863 796,954 636,630
Net realized gain on
futures contracts ................. 354,790 798,460 222,245 256,105
Increase in unrealized
appreciation of investments ....... 2,849,915 1,954,219 1,309,667 2,781,170
Increase (decrease) in unrealized
appreciation of futures contracts.. (81,355) (71,385) (209,760) 175,145
------------ ------------ ------------ ------------
Net increase in net
assets resulting from operations .. 3,474,130 3,348,858 2,363,128 4,316,617
Undistributed investment income
included in price of shares sold
and repurchased ................. 26,948 14,497 955 (2,423)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ............................ (350,263) (506,583) (256,968) (452,252)
Distributions from realized capital
gains on investments .............. (958,225) (46,686) (1,304,003) (797,770)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions ................... 10,407,509 4,160,352 2,296,653 1,314,239
------------ ------------ ------------ ------------
Total increase ....................... 12,600,099 6,970,438 3,099,765 4,378,411
NET ASSETS
Beginning of period .................. 21,800,190 14,829,752 26,167,844 21,789,433
------------ ------------ ------------ ------------
End of period* ....................... $ 34,400,289 $ 21,800,190 $ 29,267,609 $ 26,167,844
============ ============ ============ ============
* Including undistributed net
investment income of: .......... $ 136,614 $ 118,868 $ 73,628 $ 85,617
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
33
<PAGE> 35
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
CALIFORNIA TAX FREE INCOME FUND
----------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 1996 YEAR ENDED
(UNAUDITED) AUGUST 31, 1995
-------------------------- --------------------------
SHARES VALUE SHARES VALUE
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold ...................... 7,428,742 $ 94,218,828 2,982,528 $ 35,212,115
Shares issued in reinvestment of
dividends ..................... 300,622 3,783,680 944,581 11,028,287
---------- ------------ ---------- ------------
7,729,364 98,002,508 3,927,109 46,240,402
Shares repurchased ............... (7,722,975) (98,120,982) (6,382,493) (74,052,654)
---------- ------------ ---------- ------------
Net increase (decrease) ....... 6,389 $ (118,474) (2,455,384) $(27,812,252)
========== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
CALIFORNIA INSURED INTERMEDIATE FUND
--------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 1996 YEAR ENDED
(UNAUDITED) AUGUST 31, 1995
------------------------ -------------------------
SHARES VALUE SHARES VALUE
-------- ------------ --------- ------------
<S> <C> <C> <C> <C>
Shares sold ...................... 160,219 $ 1,705,581 978,758 $ 9,740,809
Shares issued in reinvestment of
dividends ..................... 31,456 334,261 67,965 686,965
-------- ------------ --------- ------------
191,675 2,039,842 1,046,723 10,427,774
Shares repurchased ............... (271,019) (2,888,818) (936,177) (9,332,905)
-------- ------------ --------- ------------
Net increase (decrease) ....... (79,344) $ (848,976) 110,546 $ 1,094,869
======== ============ ========= ============
</TABLE>
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE THE UNITED STATES
MONEY MARKET FUND TREASURY TRUST
---------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
FEBRUARY 29, 1996 YEAR ENDED FEBRUARY 29, 1996 YEAR ENDED
(UNAUDITED) AUGUST 31, 1995 (UNAUDITED) AUGUST 31, 1995
----------------- --------------- ----------------- ---------------
SHARES/VALUE SHARES/VALUE SHARES/VALUE SHARES/VALUE
----------------- --------------- ----------------- ---------------
<S> <C> <C> <C> <C>
Shares sold ...................... 148,986,452 146,409,663 81,982,315 52,708,869
Shares issued in reinvestment of
dividends ..................... 1,319,545 2,530,269 815,946 1,427,559
------------ ------------ ----------- -----------
150,305,997 148,939,932 82,798,261 54,136,428
Shares repurchased ............... (138,836,475) (154,455,902) (68,318,720) (43,610,394)
------------ ------------ ----------- -----------
Net increase (decrease) ....... 11,469,522 (5,515,970) 14,479,541 10,526,034
============ ============ =========== ===========
</TABLE>
See accompanying notes to financial statements
34
<PAGE> 36
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES FUND
--------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 1996 YEAR ENDED
(UNAUDITED) AUGUST 31, 1995
------------------------ ------------------------
SHARES VALUE SHARES VALUE
-------- ------------ -------- ------------
<S> <C> <C> <C> <C>
Shares sold ...................... 217,967 $ 2,398,188 719,796 $ 7,461,139
Shares issued in reinvestment of
dividends ..................... 56,686 625,372 142,827 1,454,004
-------- ------------ -------- ------------
274,653 3,023,560 862,623 8,915,143
Shares repurchased ............... (252,324) (2,777,851) (991,818) (10,019,149)
-------- ------------ -------- ------------
Net increase (decrease) ....... 22,329 $ 245,709 (129,195) $ (1,104,006)
======== ============ ======== ============
</TABLE>
<TABLE>
<CAPTION>
S&P 500 INDEX FUND
-------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 1996 YEAR ENDED
(UNAUDITED) AUGUST 31, 1995
----------------------- ------------------------
SHARES VALUE SHARES VALUE
------- ------------ -------- ------------
<S> <C> <C> <C> <C>
Shares sold ...................... 680,745 $ 9,777,162 412,534 $ 5,077,535
Shares issued in reinvestment of
dividends ..................... 91,719 1,267,390 43,886 509,025
------- ------------ -------- ------------
772,464 11,044,552 456,420 5,586,560
Shares repurchased ............... (44,919) (637,043) (122,148) (1,426,208)
------- ------------ -------- ------------
Net increase .................. 727,545 $ 10,407,509 334,272 $ 4,160,352
======= ============ ======== ============
</TABLE>
<TABLE>
<CAPTION>
S&P MIDCAP INDEX FUND
----------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 1996 YEAR ENDED
(UNAUDITED) AUGUST 31, 1995
---------------------- -----------------------
SHARES VALUE SHARES VALUE
------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Shares sold ...................... 155,975 $ 2,149,118 292,712 $ 3,562,660
Shares issued in reinvestment of
dividends ..................... 110,929 1,514,936 107,087 1,207,423
------- ----------- -------- -----------
266,904 3,664,054 399,799 4,770,083
Shares repurchased ............... (98,148) (1,367,401) (290,400) (3,455,844)
------- ----------- -------- -----------
Net increase .................. 168,756 $ 2,296,653 109,399 $ 1,314,239
======= =========== ======== ===========
</TABLE>
See accompanying notes to financial statements
35
<PAGE> 37
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE MONEY MARKET FUND
--------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
FEBRUARY 29, 1996 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1995 1994 1993 1992 1991
----------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.016 0.032 0.022 0.022 0.031 0.046
LESS DISTRIBUTIONS
Dividends from net investment
income ............................. (0.016) (0.032) (0.022) (0.022) (0.031) (0.046)
------- ------- ------- ------- ------- -------
Net asset value, end of period ......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======= ======= ======= ======= ======= =======
Total Return ........................... 3.23%** 3.27% 2.18% 2.27% 3.18% 4.62%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's).. $91,881 $80,412 $85,935 $58,754 $92,913 $75,316
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.64%** 0.66% 0.68% 0.39% 0.15% 0.32%
After expense reimbursements ..... 0.40%** 0.40% 0.35% 0.24% 0.15% 0.21%
Ratio of net investment income to
average net assets:
Before expense reimbursements .... 3.01%** 2.97% 1.83% 2.10% 3.05% 4.44%
After expense reimbursements ..... 3.25%** 3.23% 2.16% 2.25% 3.05% 4.55%
</TABLE>
See accompanying notes to the financial statements
**Annualized
36
<PAGE> 38
FINANCIAL HIGHLIGHTS -- (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE INCOME FUND
-----------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
FEBRUARY 29, 1996 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1995 1994 1993 1992 1991
----------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ...... $ 12.22 $ 12.17 $ 13.39 $ 12.42 $ 11.85 $ 11.30
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.31 0.61 0.65 0.69 0.73 0.75
Net gain (loss) on securities (both
realized and unrealized) .............. 0.48 0.30 (0.92) 1.04 0.57 0.55
-------- -------- -------- -------- -------- --------
Total from investment operations.. 0.79 0.91 (0.27) 1.73 1.30 1.30
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income ................................ (0.31) (0.66) (0.66) (0.68) (0.73) (0.75)
Distributions from capital gains ........ --- (0.20) (0.29) (0.08) --- ---
-------- -------- -------- -------- -------- --------
Total distributions .............. (0.31) (0.86) (0.95) (0.76) (0.73) (0.75)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ............ $ 12.70 $ 12.22 $ 12.17 $ 13.39 $ 12.42 $ 11.85
======== ======== ======== ======== ======== ========
Total Return .............................. 13.02%** 7.53% (2.15)% 14.55% 11.29% 11.87%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .. .. $203,907 $196,046 $225,087 $274,325 $217,321 $136,594
Ratio of expenses to average net
assets:
Before expense reimbursements ....... 0.62%** 0.62% 0.60% 0.60% 0.60% 0.67%
After expense reimbursements ........ 0.62%** 0.62% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income to
average net assets:
Before expense reimbursements ....... 4.93%** 5.13% 5.09% 5.41% 5.98% 6.36%
After expense reimbursements ........ 4.93%** 5.13% 5.09% 5.41% 5.98% 6.43%
Portfolio Turnover ...................... 4.57% 32.21% 31.27% 25.42% 45.43% 44.12%
</TABLE>
**Annualized
See accompanying notes to the financial statements
37
<PAGE> 39
FINANCIAL HIGHLIGHTS -- (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
U.S GOVERNMENT SECURITIES FUND
------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
FEBRUARY 29, 1996 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1995 1994 1993 1992 1991
----------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ...... $ 10.66 $ 10.30 $ 11.76 $ 10.52 $ 9.80 $ 9.41
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .................. 0.33 0.70 0.67 0.71 0.72 0.83
Net gain (loss) on securities (both
realized and unrealized) ............ 0.13 0.41 (1.40) 1.29 0.73 0.39
------- ------- ------- ------- ------- -------
Total from investment operations.. 0.46 1.11 (0.73) 2.00 1.45 1.22
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS
Dividends from net investment
income .............................. (0.33) (0.75) (0.67) (0.71) (0.73) (0.83)
Distributions from capital gains ....... --- --- (0.06) (0.05) --- ---
------- ------- ------- ------- ------- -------
Total distributions .............. (0.33) (0.75) (0.73) (0.76) (0.73) (0.83)
------- ------- ------- ------- ------- -------
Net asset value, end of period ............ $ 10.79 $ 10.66 $ 10.30 $ 11.76 $ 10.52 $ 9.80
======= ======= ======= ======= ======= =======
Total Return .............................. 8.55%** 10.80% (6.44)% 20.09% 15.46% 13.55%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $30,487 $29,884 $30,228 $35,787 $79,858 $21,188
Ratio of expenses to average net
assets:
Before expense reimbursements ....... 0.73%** 0.75% 0.73% 0.75% 0.63% 0.85%
After expense reimbursements ........ 0.64%** 0.64% 0.62% 0.52% 0.38% 0.60%
Ratio of net investment income to
average net assets:
Before expense reimbursements ....... 5.88%** 6.72% 5.99% 6.32% 6.87% 8.48%
After expense reimbursements ........ 5.97%** 6.83% 6.10% 6.55% 7.12% 8.73%
Portfolio Turnover ...................... 28.32% 169.83% 129.06% 52.30% 122.14% 53.00%
</TABLE>
**Annualized
See accompanying notes to the financial statements
38
<PAGE> 40
FINANCIAL HIGHLIGHTS -- (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
THE UNITED STATES TREASURY TRUST
-------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
FEBRUARY 29, 1996 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1995 1994 1993 1992 1991
----------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.025 0.050 0.031 0.028 0.041 0.064
LESS DISTRIBUTIONS
Dividends from net investment
income ............................ (0.025) (0.050) (0.031) (0.028) (0.041) (0.064)
-------- -------- -------- -------- -------- --------
Net asset value, end of period .......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ======== ========
Total Return ............................ 4.99%** 5.10% 3.11% 2.86% 4.18% 6.59%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's).. $44,283 $29,797 $19,268 $28,449 $16,799 $23,460
Ratio of expenses to average net
assets:
Before expense reimbursements.. 0.67%** 0.72% 0.75% 0.65% 0.73% 0.73%
After expense reimbursements... 0.40%** 0.50% 0.52% 0.32% 0.25% 0.26%
Ratio of net investment income to
average net assets:
Before expense reimbursements.. 4.70%** 4.75% 2.62% 2.43% 3.66% 5.88%
After expense reimbursements... 4.97%** 4.97% 2.85% 2.76% 4.14% 6.35%
</TABLE>
**Annualized
See accompanying notes to the financial statements
39
<PAGE> 41
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
S&P500 INDEX FUND
------------------------------------------------------------------------
APRIL 20,
SIX MONTHS ENDED YEAR ENDED YEAR ENDED YEAR ENDED 1992* TO
FEBRUARY 29, 1996 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1995 1994 1993 1992
----------------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ...... $ 13.31 $ 11.38 $ 11.25 $ 10.09 $ 10.00
------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .................. 0.19 0.39 0.30 0.30 0.10
Net gain on securities (both
realized and unrealized) ............. 1.79 1.94 0.26 1.16 0.03
------- ------- ------- ------- -------
Total from investment operations .. 1.98 2.33 .56 1.46 0.13
------- ------- ------- ------- -------
LESS DISTRIBUTIONS
Dividends from net investment
income .............................. (0.20) (0.37) (0.30) (0.30) (0.04)
Distributions from capital gains ....... (0.54) (0.03) (0.13) -- --
------- ------- ------- ------- -------
Total distributions .............. (0.74) (0.40) (0.43) (0.30) (0.04)
------- ------- ------- ------- -------
Net asset value, end of period ............ $ 14.55 $ 13.31 $ 11.38 $ 11.25 $ 10.09
======= ======= ======= ======= =======
Total Return .............................. 30.45%** 21.06% 5.17% 14.77% 3.66%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) ... $34,400 $21,800 $14,830 $11,352 $ 4,380
Ratio of expenses to average net
assets:
Before expense reimbursements ... 0.68%** 1.04% 1.01% 1.41% 2.71%**
After expense reimbursements .... 0.20%** 0.20% 0.20% 0.09% 0.00%**
Ratio of net investment income to
average net assets:
Before expense reimbursements ... 2.15%** 2.40% 1.95% 1.54% 0.94%**
After expense reimbursements .... 2.63%** 3.24% 2.76% 2.86% 3.65%**
Portfolio Turnover ..................... .22% 3.68% 1.22% 8.46% --
</TABLE>
* Commencement of operations
** Annualized
See accompanying notes to the financial statements
40
<PAGE> 42
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA INSURED INTERMEDIATE FUND
-----------------------------------------------------------
OCTOBER 20,
SIX MONTHS ENDED YEAR ENDED YEAR ENDED 1992* TO
FEBRUARY 29, 1996 AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1995 1994 1993
----------------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ...... $ 10.49 $ 10.23 $ 10.65 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .................. 0.23 0.44 0.44 0.40
Net gain (loss) on securities (both
realized and unrealized) ............. 0.19 0.30 (0.42) 0.61
------- ------- ------- -------
Total from investment operations .. 0.42 0.74 0.02 1.01
------- ------- ------- -------
LESS DISTRIBUTIONS
Dividends from net investment
income .............................. (0.23) (0.48) (0.44) (0.36)
------- ------- ------- -------
Total distributions .............. (0.23) (0.48) (0.44) (0.36)
------- ------- ------- -------
Net asset value, end of period ............ $ 10.68 $ 10.49 $ 10.23 $ 10.65
======= ======= ======= =======
Total Return .............................. 8.07%** 7.05% 0.23% 11.91%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) ... $23,098 $23,515 $21,800 $11,145
Ratio of expenses to average net
assets:
Before expense reimbursements ... 0.74%** 0.76% 0.88% 2.00%**
After expense reimbursements .... 0.55%** 0.60% 0.46% 0.16%**
Ratio of net investment income to
average net assets:
Before expense reimbursements ... 4.16%** 4.19% 3.77% 2.75%**
After expense reimbursements .... 4.35%** 4.35% 4.19% 4.59%**
Portfolio Turnover ..................... 30.10% 43.56% 8.91% --
</TABLE>
* Commencement of operations
** Annualized
See accompanying notes to the financial statements
41
<PAGE> 43
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
S&P MIDCAP INDEX FUND
------------------------------------------------------------------------
APRIL 20,
SIX MONTHS ENDED YEAR ENDED YEAR ENDED YEAR ENDED 1992* TO
FEBRUARY 29, 1996 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1995 1994 1993 1992
----------------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ...... $ 13.82 $ 12.21 $ 12.23 $ 10.12 $ 10.00
------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .................. .12 0.26 0.22 0.25 0.09
Net gain on securities (both
realized and unrealized) ............ 1.07 2.04 0.22 2.11 0.07
------- ------- ------- ------- -------
Total from investment operations . 1.19 2.30 0.44 2.36 0.16
------- ------- ------- ------- -------
LESS DISTRIBUTIONS
Dividends from net investment
income .............................. (0.13) (0.25) (0.22) (0.25) (0.04)
Distributions from capital gains ....... (0.69) (0.44) (0.24) -- --
------- ------- ------- ------- -------
Total distributions ....................... (0.82) (0.69) (0.46) (0.25) (0.04)
------- ------- ------- ------- -------
Net asset value, end of period ............ $ 14.19 $ 13.82 $ 12.21 $ 12.23 $ 10.12
======= ======= ======= ======= =======
Total Return .............................. 17.83%** 20.24% 3.75% 23.64% 4.48%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) ... $29,268 $26,168 $21,789 $16,243 $ 3,279
Ratio of expenses to average net
assets:
Before expense reimbursements ... 0.76%** 0.80% 0.97% 1.36% 3.74%**
After expense reimbursements .... 0.40%** 0.40% 0.40% 0.17% 0.00%**
Ratio of net investment income (loss)
to average net assets:
Before expense reimbursements ... 1.46%** 1.70% 1.30% 0.97% (0.46)%**
After expense reimbursements .... 1.82%** 2.10% 1.87% 2.16% 3.28%**
Portfolio Turnover ..................... 7.95% 11.71% 15.01% 8.16% 0.87%
</TABLE>
* Commencement of operations
** Annualized
See accompanying notes to the financial statements
42
<PAGE> 44
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 29, 1996
(UNAUDITED)*
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund
and California Insured Intermediate Fund are three separate series of shares of
beneficial interest of California Investment Trust. U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund and S&P MidCap Index
Fund are separate series of shares of beneficial interest of California
Investment Trust II. Both Trusts are registered under the Investment Company Act
of 1940, as amended, as diversified open-end management investment companies.
Both Trusts were organized as Massachusetts business trusts on September 11,
1985 and are authorized to issue an unlimited number of no par value shares in
one or more series. The following is a summary of significant accounting
policies followed by the Funds.*
(a) Security Valuation --- Portfolio securities of the S&P 500 and
S&P MidCap Index Funds listed on a national exchange are valued at the
last reported sales price. U.S. Treasury Bills are valued at amortized
cost which approximates market value. Portfolio securities of the
California Tax-Free Income Fund, California Insured Intermediate Fund
and the U.S. Government Securities Fund are valued by an independent
pricing service that uses market quotations, representing the mean
between the latest available bid and asked prices, prices provided by
market makers, or estimates of market values obtained from yield data
relating to instruments or securities with similar characteristics, in
accordance with procedures established in good faith by the Board of
Trustees. Securities with remaining maturities of 60 days or less are
valued on the amortized cost basis as reflecting fair value. All other
securities are valued at their fair value as determined in good faith
by the Board of Trustees. California Tax-Free Money Market Fund and The
United States Treasury Trust securities are valued at amortized cost
which the Board of Trustees has determined in good faith to constitute
fair value.
(b) Futures Contracts --- Initial margin deposits required upon
entering into futures contracts are satisfied by the segregation of
specific securities or cash, as collateral, for the account of the
broker (the Fund's agent in acquiring the futures position). During the
period the futures contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking to
market" on a daily basis to reflect the market value of the contract at
the end of each day's trading. Variation margin payments are made or
received depending upon whether unrealized gains or losses are
incurred. When the contract is closed, the Fund records a realized gain
or loss equal to the difference between the proceeds from (or cost of)
the closing transaction and the Fund's basis in the contract. The S&P
500 Index Fund and S&P MidCap Index Fund may purchase or sell stock
index futures to maintain cash reserves while remaining fully invested,
to facilitate trading, to reduce transaction costs, or to seek higher
investment returns when a futures contract is priced more attractively
than the underlying equity security or index. Risks include the
possibility of an illiquid market and an imperfect correlation between
the change in market value of the stocks held by a Fund and the prices
of futures contracts.
(c) Federal Income Taxes --- No provision is considered necessary
for Federal income taxes. The Funds intend to qualify for an elect the
tax treatment applicable to regulated investment companies under the
Internal Revenue Code and to distribute all of their taxable income to
shareholders. California Tax-Free Money Market Fund has capital loss
carryovers available to offset future gains, if any, of approximately
$36,000 which expire
43
<PAGE> 45
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
as follows, $12,000 in 1996, $8,000 in 1997, $10,000 in 1999, $4,000 in
2000, and $2,000 in 2003. The California Tax-Free Income Fund and the
California Insured Intermediate Fund have capital loss carryovers of
approximately $339,000 and $84,000 respectively, which expires in 2003.
(d) Security Transactions, Investment Income and Distributions to
Shareholders --- Security transactions are recorded on the trade date.
Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date. Discounts and premiums on securities
purchased are amortized in accordance with tax regulations.
Distributions to shareholders are recorded on the ex-dividend date for
the California Tax-Free Income Fund, the California Insured
Intermediate Fund, the U.S. Government Securities Fund, S&P 500 Index
Fund, and S&P MidCap Index Fund. Income distributions and capital gain
distributions are determined in accordance with income tax regulations
which may differ from generally accepted accounting principles. These
differences are primarily due to differing treatments for futures
contracts and post October capital losses. For the California Tax-Free
Money Market Fund and The United States Treasury Trust, dividends from
net investment income are declared daily and reinvested or paid in cash
monthly. The two Funds intend to maintain a continuous net asset value
per share of $1.00. If net asset value per share using available market
information deviates from $1.00 by $.005 or more, the Board of Trustees
would consider what steps, if any, should be taken to restore net asset
value per share to $1.00.
(e) Equalization --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund, the U.S. Government Securities
Fund, S&P 500 Index Fund and S&P MidCap Index Fund follow the
accounting practice of "equalization" whereby part of the proceeds from
capital share transactions equivalent to a proportionate share of the
distributable investment income on the date of the transaction, is
transferred to or from the undistributed net investment income account.
Undistributed net investment income is therefore unaffected by capital
share transactions.
(f) Concentration --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund and the California Tax-Free Money
Market Fund invest in debt instruments of municipal issuers. The
issuer's abilities to meet their obligations may be affected by
economic developments in the state of California.
NOTE 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California Limited Partnership, provides each
Fund with management and administrative services pursuant to a Management
Agreement.
In accordance with the terms of the management agreements with
California Tax-Free Money Market Fund, California Tax-Free Income Fund,
California Insured Intermediate Fund, U.S. Government Securities Fund, and The
U.S. Treasury Trust, CCM receives compensation at the annual rate of 0.50% of
the Funds' average daily net assets not exceeding $100 million, 0.45% on net
assets from $100 million to $500 million, and 0.40% on net assets above $500
million. In accordance with the terms of the management agreements with the S&P
500 Index Fund and S&P MidCap Index Fund, CCM receives as compensation at the
annual rate of .25% and .40%, respectively, of the Funds' average daily net
assets. CCM has agreed to reduce its fee by, or reimburse the Funds for, any
amount necessary to prevent the Funds' total expenses, excluding extraordinary
items, from exceeding 1.00% of the Funds' average daily net assets. The manager
has voluntarily reimbursed more expenses than contractually obliged. This
voluntary reimbursement may cease at any time without prior notice.
Reimbursement from the manager for the six month period
44
<PAGE> 46
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
FEBRUARY 29, 1996
(UNAUDITED)
NOTE 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY
TRANSACTIONS (CONTINUED)
ended February 29, 1996, is as follows:
<TABLE>
<S> <C>
California Tax-Free Money Market Fund...... $102,034
California Insured Intermediate Fund....... $ 22,036
U.S. Government Securities Fund ........... $ 13,359
The United States Treasury Trust .......... $ 49,892
S&P 500 Index Fund......................... $ 62,046
S&P MidCap Index Fund ..................... $ 47,780
</TABLE>
CCM has retained Bank of America NT&SA to act as Sub-Advisor to the S&P
500 Index Fund and S&P MidCap Index Fund, subject to supervision by the Manager
and the Trust's Board of Trustees. Under the Sub-Advisory Agreement, the
Sub-Advisor is responsible for the actual management of each Fund's portfolio.
The responsibility for making decisions to buy, sell or hold a particular
security rests with the Sub-Advisor. The Sub-Advisor makes all the investment
decisions and places transactions accordingly. CCM compensates the Sub-Advisor
at an annual rate of 0.10% of the average net assets of the Fund.
Certain officers and trustees of the Trust are also partners of CCM.
NOTE 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments
during the year or period ended February 29, 1996 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
--------- -----
<S> <C> <C>
California Tax-Free Income Fund ........... $14,812,813 $17,826,725
California Insured Tax-Free Income Fund ... $ 7,006,559 $ 7,392,567
U.S. Government Securities Fund ........... $ 9,276,200 $ 8,598,868
S&P 500 Index Fund ........................ $10,391,939 $22,708,714
S&P Midcap Index Fund ..................... $ 4,749,931 $ 1,894,518
</TABLE>
45
<PAGE> 47
CALIFORNIA BULK POSTAGE
INVESTMENT TRUST PAID
- ---------------- Milwaukee, WI
FUND GROUP PERMIT NO. 2855
44 Montgomery Street #2100
San Francisco, CA 94104
